An AFP correspondent heard a loud explosion at 1050 GMT, shortly before the scheduled unveiling of the Saudi budget, which is usually announced by the king from the Yamamah palace, his official residence.
"Coalition forces confirm intercepting” a missile, the Center for International Communication, an arm of the Saudi information ministry, said on Twitter.
"There are no reported casualties at this time," it added.
In Yemen, Mohammed Abdul-Salam, the spokesman for the Houthis, said they fired a ballistic missile targeting the Yamamah palace. He tweeted that a ballistic “Volcano H-2” missile was used in the attack.
It was the second missile launched at Riyadh in the past two months in retaliation for the Saudi Arabia deadly airstrikes.
The attacks, which could further escalate a military campaign by a Saudi-led coalition against Yemen, underscore how the raging Yemen conflict is increasingly spilling across the border.
The first attack, which targeted Riyadh international airport on November 4, triggered the tightening of a long-standing Saudi-led blockade of Yemen – already on the verge of famine.
Saudi Arabia accused Iran of supplying the missile to the Houthis, a charge Tehran strongly denied.
On Thursday, US ambassador to the United Nations Nikki Haley presented what she called "undeniable" evidence that last month's missile was "made in Iran".
But her comments went beyond the findings of a UN investigation which reached no firm conclusion on whether the missile came from an Iranian supplier, saying only that it had a "common origin" to some Iranian designs.
The Ansarullah movement last month warned that they considered "airports, ports, border crossings and areas of any importance" in Saudi Arabia, as well as its ally the United Arab Emirates, as legitimate targets.
Civilian deaths in Yemen
Meanwhile, the UN human rights office said Tuesday it has verified the killings of 115 Yemeni civilians and other non-combatants in airstrikes carried out over 11 days this month by the Saudi-led military coalition.
The office spokesman, Rupert Colville, said UN officials are “deeply concerned” about the surge in civilian casualties from airstrikes.
The attacks included airstrikes on Yemen’s Houthi-run TV channel, a hospital in the Red Sea port city of Hodeida and a series of strikes targeting a prison in Sanaa that killed 43, he said.
Over the past three years, more than 13,000 people have been killed and three million displaced amid the Saudi-led coalition’s air campaign.