Multiple blasts were heard, and plumes of smoke could be seen from the capital.
Saudi Arabia's missile interceptions came hours after Saudi air defences shot down two unmanned Yemeni drones in southern Saudi Arabia.
According to Al Masirah TV, which is run by the Houthis, the missile was aimed at the defense ministry.
They have frequently claimed attacks, including on Aramco facilities, that Saudi Arabia and its main ally the United Arab Emirates have either said did not happen or were intercepted. Tehran and the Houthis have repeatedly denied the allegations.
According to weapons monitor Conflict Armament Research (CAR), quoted by Reuters, CAR has evidence that the Qasif-1 drone used in today's strike was made in Iran, "in contrast to Houthi statements".
The coalition has launched thousands of air strikes in Yemen which have hit schools, markets and hospitals, killing hundreds of people - though it says it does not target civilians.
Saudi Arabia, which leads a coalition against the Yemeni forces on request of the country's president Abdrabbuh Mansour Hadi, has been regularly shelled by the Yemeni Houthis. Houthi rebels reportedly fired a number of missiles towards a Saudi government building.