Saudi state TV says its air defence system intercepted the missile above Najran in the kingdom's southwestern region.
The announcement on Yemen's rebel-run Al-Masirah TV says Friday's missile hit its target with "high accuracy." The rebels later said they fired another missile, targeting Saudi-backed forces along Yemen's western coast.
The Shia rebels, known as Houthis, have previously fired missiles targeting the Saudi mainland, including the capital, Riyadh, and the city's international airport.
Saudi Arabia backs Yemen's internationally recognised government and leads an international coalition at war with Iran-backed Houthis since March 2015.
The coalition has repeatedly accused Saudi rival Iran of arming the rebels. The Houthis deny the allegations.
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