Last month Yemeni rebels had fired a missile which was intercepted by Saudi military.(File Photo)
State media said Saudi military intercepted a ballistic missile near Yemen border.
The Saudi coalition said the missile attack "proved" Iran was backing the Yemen rebels.
Last month Saudi Arabia had intercepted a Yemeni missile fired over Riyadh. The rebels had targeted the Yamamah palace, the official residence of King Salman.
US ambassador to the UN Nikki Haley had linked the missile attack to Iran saying it had "all the hallmarks of using Iran-provided weapons."
Video footage released by Houthi military media Centre showed missile being launched from an unidentified location in Yemen.