Whether missiles or drones, the flying objects crashed into the city and according to Asharq Al-Alawsat, five people, including a woman and child, were injured in the crash.
Footage shot at the scene of the crash shows wreckage strewn among several buildings and in the street.
They were reportedly shot down by a Patriot missile defense system manufactured in the United States.
The Saudi Arabian city of Khamis Mushait sits about 60 miles north of the border with Yemen, where the Saudi-led coalition has been waging a brutal war against the Houthi rebels in the north of the country since 2015. Near the city is the King Khalid Air Base, a Royal Saudi Air Force installation.