The attack is at least the sixth to target Riyadh since December.
The Houthis' al-Masira television said that rockets were aimed at the Saudi defense ministry and other targets in the Saudi capital. Reuters could not verify the report independently.
"The missile force confirms that 'Burkan' (Volcano) rockets hit their targets in Riyadh with high precision," it added, without specifying.
At least six loud blasts were heard and bright flashes were seen in the sky over Riyadh, and puffs of smoke were visible above the city, a Reuters witness said.
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There were no reported casualties or damage immediately, but there was shrapnel on a street in the diplomatic quarter where most embassies are located and many foreigners live, a Reuters witness said.
A high security presence was spotted in the neighborhood, in addition to fire trucks, the witness added. Security personnel prevented people from entering the district.
There was no immediate comment from the Saudi authorities or from the Saudi-led coalition fighting in Yemen against the Houthi movement.