A long-range ballistic missile was sacked at King Khalid International Airport in Riyadh, the Houthi TV channel Al-Masirah reported.
The missile was shot down northeast of the capital Riyadh without causing casualties or damage, the broadcaster said.
Earlier, residents in the east of the city reported hearing the sound of an explosion.
Saudi military forces have intercepted missiles fired from Houthis several times since March 2015, when a Saudi-led coalition launched a war against Houthi rebels and their allies after they captured northern Yemen and ousted the Saudi-backed president from power.
Saudi Arabia's Civil Aviation Authority confirmed on Twitter that the missile had been brought down over the airport.
Al-Qahum was referring to airstrikes this past week on a hotel and a market area in Yemen's northern province of Saada.
The Saudi-led alliance said the strikes unleashed on Wednesday had hit a "legitimate military target" of rebels in the area.
The Saudis, who back Yemen's internationally recognised government, accuse the Houthis of starting the war.
The rebels continue to hold much of the country.
The UN has warned of starvation and disease, including a cholera outbreak that has claimed more than 2,100 lives in Yemen since April.
The intergovernmental organisation has failed to agree a peace deal to end the fighting, which has left more than 8,600 people dead since the coalition entered the conflict. The kingdom has also imposed an air and sea blockade on Yemen.