A spokesman for the Houthi movement said a ballistic missile targeted the royal court at al-Yamama palace, where a meeting of Saudi leaders was under way.
There was no official word on this assertion, but a royal family member appeared to confirm the missile was aimed at a royal palace meeting.
"Coalition forces confirm intercepting an Iranian-Houthi missile targeting (the) south of Riyadh. There are no reported casualties at this time," the government-run Center for International Communication wrote on its Twitter account.
The attack happened hours before Saudi Arabia was due to announce the country's annual budget in a news conference expected to be attended by senior ministers.
Reuters witnesses described hearing a blast and said they saw smoke in the north-east of Riyadh.
Saudi Arabia said on Nov. 4 it had intercepted a ballistic missile over Riyadh's King Khaled Airport, in an attack that provoked a strong reaction from the kingdom.
Riyadh accused Iran of smuggling the missile to the Houthis and imposed a blockade on Yemen demanding that united Nations inspection procedures be tightened.
Last week the United States presented for the first time pieces of what it said were Iranian weapons supplied to the Houthis, describing it as conclusive evidence that Tehran was violating U.N. resolutions.
Iran, Saudi Arabia's regional foe, has denied supplying such weaponry to the Houthis who have taken over the Yemeni capital Sanaa and other parts of the country during its civil war.
In Geneva, a U.N. human rights spokesman said air strikes by a Saudi-led military coalition had killed at least 136 civilians and non-combatants in Yemen since December 6.
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