The announcement by the coalition was carried by the Saudi state TV as residents of the kingdom posted videos on social media showing a small cloud of smoke in the sky.
The report said no damage was caused by the intercepted missile.
In Yemen, Mohammed Abdul-Salam, the spokesman for the Shiite rebels known as Houthis, said they fired a ballistic missile targeting the Yamama Palace. He tweeted that a ballistic "Volcano H-2" missile was used in the attack.
The Yamama Palace is where the Saudi monarch, King Salman, receives visiting foreign dignitaries and top Saudi officials.
The Saudi-led coalition has been fighting in Yemen since March 2015 to defeat the Iran-backed Houthis and reinstate the internationally recognized government of President Abed Rabbo Mansour Hadi who was forced into exile by the Houthis.
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