A ballistic missile launched by pro-Iranian Yemeni Houthi rebels was intercepted on its way to the capital Riyadh, Saudi media, including the website of Arab News, reported on Wednesday.
No casualty or damage was reported in the incident.
The spokesman for a Saudi-led coalition fighting in Yemen, Turki Al Malki, said that air defence forces earlier had also intercepted a ballistic missile originating from Yemen and targeting the kingdom's southern city of Jizan.
"Our air-defense systems intercepted two ballistic missiles over Riyadh and a third that was sacked toward Jizan", the Al-Ekhbariya television channel reported, according to Anadolu Agency (AA).
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And it came amid growing tension between the Sunni kingdom and the Shiite Islamic republic over Iran's support for the Huthi rebels in Yemen, who have been firing rockets across the border.
Saudi Arabia announced that it will do everything necessary to prevent lack of oil in the market after the statement of the President of the United States Donald trump about the release of the nuclear agreement and the imposition of sanctions against the Islamic Republic of Iran. The Iranian government denies the allegations.
The Saudi-led military coalition intervened in Yemen's civil war in 2015.
It has instructed citizens, upon hearing the alert, to seek shelter in secure locations and avoid "areas prone to air strikes and missile strikes".
In recent months, Yemen's Houthis have targeted the Saudi capital several times with missiles the Saudi military has said it intercepted.