"At 1950 (local time) a security checkpoint in Khuzama neighbourhood of Riyadh spotted a recreational remote-controlled drone," the Saudi Press Agency reported.
"Security personnel at the checkpoint dealt with it according to their orders and instructions in this regard," SPA added, implying that the drone had been shot down.
The statement followed unconfirmed videos on social media that appeared to show heavy volleys of gunfire in that neighbourhood, triggering speculation of a possible coup attempt.
But the government ruled out any major security breach, adding that an investigation had been launched into the incident.
Government officials did not immediately respond to requests for comment on the whereabouts of the Saudi king and crown prince during the incident.
Security around the palaces appears to have tightened in recent months as powerful Crown Prince Mohammed bin Salman oversees landmark social and economic reforms to prepare for a post-oil era, despite the risk of riling religious hardliners.
Last October a gunman shot dead two Saudi guards and wounded three others at the gate of the royal palace in the Red Sea city of Jeddah, according to the interior ministry.
Royal guards killed the gunman, identified by the ministry as a 28-year-old Saudi national armed with a Kalashnikov and three grenades.
Saudi Arabia is also embroiled in a long-running conflict with Iran-backed Huthi rebels in neighbouring Yemen, dubbed by the United Nations as the world's worst humanitarian crisis.
Huthi rebels have repeatedly fired missiles into Saudi territory, including the capital Riyadh. Saudi Arabia claims to have intercepted most of them.
(This story has not been edited by NDTV staff and is auto-generated from a syndicated feed.)