The Saudi Air Force has intercepted a missile over the northeastern part of the capital Riyadh, Saudi state television reports.
Reuters reporters in the capital heard several loud booms and saw smoke in the air shortly before midnight local time.
Another witness said he saw a long stream of light followed by additional explosions.
Footage on social media appeared to show one of the intercepting Saudi missiles failing and landing inside the city.
Analysis group Strategic Sentinel said of video of the incident posted on Twitter: "New angle suggests this is actually a spectacular failure of a #Saudi interceptor and not the missile fired at #Riyadh"
Yemen's Houthi-run SABA news agency reported that the group's missile force had targeted King Khalid International Airport in Riyadh with a Burkan H2 missile.
The group also fired other types of missiles at airports in the southern Saudi cities of Abha, Jizan and Najran, according to the SABA report.
Saudi authorities could not immediately be reached for comment.
More than 10,000 people have been killed in Yemen since March 2015.
Saudi Arabia and other Sunni Muslim Arab states launched a military campaign against the Houthis, a group of Shia fighters who had seized the capital and forced President Abd Rabbu Mansour al-Hadi to flee.
- Reuters, AAP