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The Houthi rebels, locked in a war against Yemen's Saudi- backed government, said they had fired a missile at the kingdom's southwestern province of Najran in a statement tweeted by their Al-Masirah television channel.
Saudi air defences intercepted the ballistic missile over Najran, according to the kingdom's state-owned Al Ekhbariya news channel.
No casualties have been reported in the attacks.
But despite the coalition's superior firepower, the rebels still control the capital and much of the north.
More than 8,750 people have been killed since the coalition intervened, according to the World Health Organization.