The missile was shot down and scattered debris over an uninhabited area without causing damage or casualties.
Saudi Arabia said its forces have intercepted a ballistic missile fired from Yemen towards one of the kingdom's major global airports on the outskirts of the capital, Riyadh.
The missile was destroyed near Riyadh's King Khaled International Airport, which was functioning normally, it added.
The attack came after the Houthi militia failed to launch a missile at Saudi Arabia on October 30.
Yemeni Houthi forces have claimed responsibility for the attempted strike, Al Jazeera reported, citing a spokesman for the rebels. Riyadh is around 620 miles (1,000 kilometers) north of the border with Yemen.More news: Paul Newman's Rolex Most Expensive Wristwatch Ever Sold at Auction
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Saudi Arabia accuses its rival, Shiite power Iran, of training and helping arm the rebels. The rebels are at war with the kingdom. Tehran denies the charges and says it only provides political support.
Unconfirmed footage uploaded to Twitter appeared to show a volley of at least three missiles being fired from the ground at an undetermined location in Riyadh.
More than 2,100 people in Yemen have been killed since a chlorea outbreak in April as hospitals struggled to secure basical supplies amid a coalition air and sea blockade.
The UN has warned of starvation and disease, including a cholera outbreak that has claimed more than 2,100 lives in Yemen since April.
The United States backs the Saudi-led coalition with weapons, air refueling and intelligence.