A ballistic missile fired by Yemen's armed Houthi group towards Saudi Arabia's southern Jizan region was shot down by Saudi forces on Tuesday, Saudi state TV Ekhbariya reported.
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The station gave no further details. There were no reports of casualties or damage.
The Iranian-aligned Houthis have fired several missiles at the kingdom, and while these have not caused any serious damage they have served to deepen tensions between Riyadh and its arch rival Tehran.
Saudi Arabia accuses Iran of supplying missile parts and expertise to the Houthis, who have taken over the Yemeni capital, Sanaa, and other parts of the country during its civil war. Iran denies the charge.
Saudi Arabia is leading a coalition that has been fighting the Houthis in neighbouring Yemen since March 2015, after the movement drove Yemeni President Abd-Rabbu Mansour Hadi into exile.
Saudi Arabia said on November 4 it had intercepted a ballistic missile over Riyadh's King Khaled Airport, an attack that led the coalition to close air, land and sea access to Yemen in a move it said was meant to stop Iranian supplies to the Houthis.
The conflict has killed more than 10,000 people, displaced over two million and brought much of the country to the brink of famine.