The missile targeted the southern Saudi city of Khamis Mushait, but no casualties were reported, said a spokesman for the Saudi-led military coalition fighting the Shiite rebels.
"Royal Saudi Air Defence Forces intercepted the missile which was heading towards Khamis Mushait," the Saudi Press Agency quoted the Saudi-led coalition spokesman Turki al- Maliki as saying.
The Huthi-run Al-Masira television channel had earlier claimed the missile hit a military target inside Saudi Arabia, but that was contradicted by the Saudi authorities.
"Should the blockade continue, we know what (targets) would cause great pain and how to reach them," he said in a speech broadcast on Al-Masira.
Riyadh accuses its arch-rival Iran of arming Yemen's Huthis and earlier this month Saudi Arabia's powerful Crown Prince Mohammed bin Salman said this "could be considered an act of war".
Saudi Arabia has accused Iran of supplying the Huthis with arms. Tehran has denied the accusation.
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