The Saudi-led coalition has intercepted an attack by the Houthi movement that targeted the Saudi capital Riyadh, Al-Hadath TV reported Saturday.
Social media users have shared videos of fumes of smoke in the sky from an apparent explosion of what local media believe was either a drone or a missile.
Yemen has been engulfed in a prolonged armed conflict between the government forces, led by President Abdrabbuh Mansour Hadi, and the Houthi rebels.
Since March 2015, the Saudi-led Arab alliance, backing Hadi's forces, has been conducting air, land, and sea operations against the rebels, who control the capital of Sanaa and large areas in northern and western Yemen. The Houthis often use drones with explosives to attack Saudi border area.
Last week, the US State Department added the Houthi movement to its list of terrorist organisations.