Saudi air defence forces were quoted by broadcaster Al-Arabiya as saying they intercepted the missile north-east of the capital.
A Saudi-led coalition intervened in Yemen in 2015 in a bid to oust Houthi rebels allied with former President Ali Abdullah Saleh after they overran the capital Sana'a and large swaths of the country.
Saudi Arabia has intercepted a missile fired at the capital Riyadh's airport.
Passengers at the airport, which British Airways flies direct to from the United Kingdom, said they heard an explosion.
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Earlier, residents in the east of the city reported hearing the sound of an explosion. Several flights were shown to be delayed on the digital board displaying the arrival and departure of flights at the airport.
For two and a half years Saudi Arabia has led a coalition fighting Iranian-backed Houthi rebels in Yemen.
The missile was sacked across Saudi Arabia's southern border by Yemen's Houthi rebels, according to several Houthi-owned media outlets, including Al-Masirah and SABA.
Al-Qahum was referring to airstrikes this past week on a hotel and a market area in Yemen's northern province of Saada.
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The Saudis, who back Yemen's internationally recognised government, accuse the Houthis of starting the war.
Saudi Arabia is leading a campaign to defeat the Houthis.
Rebels continue to hold much of Yemen and the United Nations has warned the country is on the brink of starvation. The kingdom has also imposed an air and sea blockade on Yemen.
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