Saudi air defences intercepted the ballistic missile over Najran, according to the kingdom's state-owned Al Ekhbariya news channel.
A spokesman for the Saudi-led military alliance fighting the Huthis in Yemen did not immediately respond to a request for further details.
Saudi Arabia, which has been targeted by multiple rocket attacks in recent weeks, has blamed its regional rival Iran for arming the Shiite Huthis in the Yemen war.
The kingdom denounced the threat of "Iranian-manufactured ballistic weapons" after it intercepted a ballistic missile fired from Yemen over Riyadh in December.
No casualties have been reported in the attacks.
The Saudi-led coalition intervened in support of President Abedrabbo Mansur Hadi's government in March 2015, after the Huthis took over the capital Sanaa and much of the rest of the country.
But despite the coalition's superior firepower, the rebels still control the capital and much of the north.
More than 8,750 people have been killed since the coalition intervened, according to the World Health Organization.
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