Yemen's Houthi group said on Thursday it had targeted a military site in Dammam in Saudi Arabia's Eastern Province with a long-range missile, its TV station Al Masirah reported.
There was no immediate comment from Saudi authorities.
Saudi Arabia's envoy to Yemen accused Iran of being behind an attack on a military parade in Aden on Thursday that the Iran-aligned Houthi movement has claimed responsibility for.
Envoy Mohammed bin Saeed Al Jabir, in a Twitter post, also blamed Iran for a separate attack on a police station in the southern port city, which no one has claimed yet. Yemen's Prime Minister Maeen Abdulmalik Saeed, in separate tweets, said the attacks were coordinated under "Iran's administration".
Iran denies any involvement in Yemen, where a Saudi-led military coalition has been battling the Houthis for more than four years.