Al Arabiya TV reported the missile was sacked from Yemen and was brought down close to the capital by Saudi air defence forces.
Saudi Arabia says its forces have intercepted a missile fired towards one of its major worldwide airports on the outskirts of the capital, Riyadh.
Meanwhile, a Houthi-linked TV channel said the missile was launched at the airport.
The missile was destroyed near Riyadh's King Khaled International Airport, which was functioning normally, it added.
Media reported that the explosion occurred as a result of interception, defense of Saudi Arabia missiles.More news: Pochettino 'confident' Kane will face Madrid
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Saudi-led coalition against Houthi militias denied on Saturday allegations of targeting a market in Sa'dah in Yemen, Saudi Press Agency reported.
The Saudi-led alliance said the strikes unleashed on Wednesday had hit a "legitimate military target" of rebels in the area.
Impoverished Yemen has remained in a state of civil war since 2014, when Houthi rebels overran much of the country, including the capital Sanaa.
The intergovernmental organisation has failed to agree a peace deal to end the fighting, which has left more than 8,600 people dead since the coalition entered the conflict.