In another development on Thursday, Saudi Arabia tested a new siren system for the capital, Riyadh, and Eastern Province, amid retaliatory missile strikes from Yemen.
A spokesman for the Saudi-led coalition said the kingdom's air defences intercepted all three, in statements carried by the state-run Saudi Press Agency.
The Houthis, an Iran-allied group that controls much of Yemen including the capital Sanaa, have fired a series of missiles into the kingdom in recent months, part of a three-year-old conflict in Yemen widely seen as a proxy battle between Saudi Arabia and Iran.
The cross-border attack by the Iran-allied rebels, known as Houthis, came amid mounting regional tensions after U.S. President Donald Trump chose to withdraw from the landmark 2015 nuclear agreement with Tehran.
The Huthis' Al-Masirah television accused the Saudi-led coalition, which has been fighting the rebels since 2015 to shore up the internationally recognised government, of responsibility for the strikes.
Colonel Turki al-Malki, spokesman for the Saudi-led coalition, said in a statement that Saudi air defenses had intercepted one missile, with another falling in an uninhabited desert south of the city. It violates UN Resolutions with regards to ballistic missiles.
He said the rockets were launched from northern Yemen toward "populated areas" of Saudi Arabia, but were intercepted overnight without any casualties or damage.
Also on Wednesday, Houthi militias tried to hit southern Saudi city of Najran after firing a short range ballistic missile called Badr.
The U.N. chief appealed to the parties "to refrain from further escalation" and reminded the parties that a negotiated political settlement is the only way to end the conflict, Dujarric said.
The conflict has left almost 10,000 people dead, tens of thousands wounded, and millions on the brink of starvation in what the United Nations has called the world's worst humanitarian crisis. Saudi defence forces have also halted Yemen's financial aids and food and fuel imports as well.
Saudi Arabia will seek to develop its own nuclear weapons if Iran does, Foreign Minister Adel al-Jubeir told CNN on Wednesday, amid spiraling tension between the regional rivals. Iran denies arming them.