The missile, the latest in a series of similar attacks, was heading towards coastal city of Jizan
Saudi Arabia's air defences on Friday intercepted a missile fired by Yemeni rebels, days after the insurgents' second-in-command was killed in an air raid by Riyadh and its allies.
The missile, the latest in a series of similar attacks, was heading towards the kingdom's southern coastal city of Jizan, state-run Al-Ekhbariya television said.
Saudi Arabia launched a military coalition in 2015 to battle the Huthi rebels in its southern neighbour and restore the internationally-recognised Yemeni government to power.
The Huthis control Yemen's capital, Sanaa, as well as much of Yemen's north and the key Hodeida port on the country's western coastline.
Riyadh on Wednesday confirmed it was behind an air strike on the Yemeni capital that killed Saleh al-Sammad, president of the Huthis' Supreme Political Council, on April 19.
The rebels will hold a public funeral for Sammad in Sanaa on Saturday.
Nearly 10,000 people have been killed since the Saudi-led alliance joined the Yemen conflict, triggering what the United Nations has called the world's worst humanitarian crisis.
Yemen now stands at the brink of famine.
The alliance imposed a total blockade on Yemen's ports earlier this year in retaliation for the rebel missile attacks. The blockade has since been partially lifted, but access to the impoverished country remains limited.
In March, an Egyptian labourer became the first known fatality in a rebel missile attack on Saudi Arabia.
The kingdom accuses its rival Iran of smuggling missiles to the Huthis. Tehran denies the charge.