A ballistic missile launched towards Saudi Arabia's capital city of Riyadh was intercepted by the kingdom's forces on Monday, the government said.
The coalition fighting on behalf of the government in Yemen said it would "strike with an iron fist within the framework of international humanitarian law", in response to the thwarted attack.
The Saudi Arabia-led coalition said it was launching an offensive against the Houthi rebel group, which regularly fires missiles into the kingdom from across the border.
Residents reported hearing a loud bang over the capital, and videos on social media purporting to be from the city showed glowing orbs lighting up the sky as the missile was met by surface-to-air Saudi missiles.
Earlier on Monday, the coalition announced it had carried out 47 air strikes against Houthi targets in Yemen's Marib in the space of 24 hours.
The Houthis have launched a year-long offensive to take Marib, which hosts Yemen's biggest gas fields. The city is the last stronghold of the internationally recognised government.
Marib is home to three million people, including nearly one million who fled other parts of Yemen after the Houthis ousted the government from the capital, Sanaa, in late 2014, prompting the Saudi-led coalition to intervene.
The number of displaced people in camps in the province has risen nearly 10-fold since September, with more than 45,000 people fleeing their homes as Houthi forces press the offensive, the UN migration agency IOM said last month.