Saudi air defenses struck the rocket down as it was approaching the provincial capital Najran, according to the Riyadh-based Al-Ekhbariya broadcaster.
The incident is the latest in a string of missile launches by the rebels from Yemeni territory targeting different cities in Saudi Arabia.
Earlier this month, Al Arabiya TV reported that Saudi Arabian air defenses intercepted two missiles fired by Yemen's Houthi groupat Saudi southern Jizan province.
READ MORE: Houthis to Saudi-Led Arab Coalition: 'From Now On, Your Capitals No Longer Safe'
Yemen has been engulfed in an armed conflict between the government headed by President Abd Rabbuh Mansur Hadi and the Houthi movement for several years. The Saudi-led coalition of mostly Persian Gulf nations has been carrying out airstrikes against the rebels at Hadi's request since March 2015.
