The Royal Saudi Air Defense intercepted at least one ballistic missile over Riyadh on Wednesday.
Last month, the war took its first casualty in Riyadh after a man was killed by debris from a barrage of incoming missiles shot down by the Saudis over the capital.
The announcement came after an AFP journalist witnessed explosions and heard three blasts over the capital, which has previously been targeted by Iran-backed Houthi rebels in Yemen.
The missile was shot down just hours after Saudi military brought down a Houthi-rebel drone at an global airport in the southern city of Abha.
Al Masirah, a TV network run by the Houthis, claimed responsibility for the attack on Twitter, saying the rebels fired a Burkan 2-H, a Scud-type missile, towards the Saudi defence ministry.
Al Masirah also reported the Houthis fired missiles at oil storage facilities belonging to Saudi oil giant Aramco in the provinces of Najran and Jizan.
The missiles followed the downing of two Houthi drones earlier on Wednesday in Jizan and the nearby Saudi city of Abha, the coalition said.
The arms monitor Conflict Armament Research (CAR) said it had evidence showing the Qasef-1 and other Houthi kit was made in Iran and was not of indigenous design and construction "in contrast to Houthi statements".
"The air force announced the execution of air strikes with the Qasef-1 aircraft on Aramco in Jizan (province)", the channel said on its Twitter account, referring to a drone the Houthis unveiled a year ago.
The coalition accuses the Houthis of being armed and supported by Iran - charges the group and Tehran deny.