The Saudi-led coalition said it started an operation to target military positions in the Yemeni capital of Sanaa, according to state TV early on Saturday.
The targets included air defence sites and ballistic missile depots, it added.
On Wednesday, Yemen's Iran-aligned Houthi group said it launched a drone attack on Jizan airport in southwestern Saudi Arabia, part of an escalation of cross-border assaults in the 4-year-old conflict.
The Houthis, who are fighting a Saudi-led coalition in Yemen and control the capital Sanaa, have in the past few months stepped up their attacks against targets in Saudi Arabia. In response, the coalition has targeted military sites belonging to the group, especially around Sanaa.
The escalation in violence threatens a UN-sponsored deal for a ceasefire and troop withdrawal from the flashpoint coastal city of Hodeidah.
The war has killed tens of thousands of people and left millions on the brink of famine