BBC reported that the missile was "of limited size" and caused no damage.
Sky's Diplomatic Correspondent Dominic Waghorn said: "What we have in terms of reported facts are a loud explosion, or a number of them over the King Khaled International Airport in Riyadh, the capital of Saudi Arabia".
The King Khaled airport in Riyadh was the target.
Media tied to Yemen's Houthi rebels, including al-Masira, claimed a short-range Burkan H2 missile was sacked in response to "Saudi-American aggression and crimes against the people of Yemen". The rebels are at war with the kingdom. A missile with a range of more than 800 kilometers (500 miles) was launched toward Riyadh late Saturday, having flown more than 500 kilometers (300 miles) over the border.
A ballistic missile has been intercepted by air defence forces northeast of the Saudi capital Riyadh, the country's state media is reporting.
Saudi Arabia is leading a military campaign against the rebels.
Heavy Rain, High Winds On The Way To Our Area
The weather service also expects some damage to trees and power lines, thus anticipating power outages scattered across the area. Flash Flood Watch in effect for all of eastern NY from Sunday afternoon through Monday morning, including the Capital Region.
Saudi Arabia claims the Shiite Houthi rebels are backed by its regional rival Iran.
A Saudi-led coalition intervened in 2015 to prop up Hadi's government after the Houthis seized the capital Sanaa. Iran denies that it has provided material support, though it acknowledges its political support of the Houthis.
The United Nations has warned Yemen now stands on the brink of starvation.
More than 2,100 people in Yemen have been killed since a chlorea outbreak in April as hospitals struggled to secure basical supplies amid a coalition air and sea blockade.
The United States backs the Saudi-led coalition with weapons, air refueling and intelligence.