Video posted on social media appears to show a missile travelling through the air before it is struck by another missile and explodes.
After the interception an explosion was reported in the Narjis area of Riyadh, Saudi Arabia’s capital.
Separately explosive laden drones were shot down over the Saudi cities of Jazan and Khamis Mushait near the Yemeni border.
There are no reports of any casualties or damage thus far from any of the attacks.
In a statement the Saudi led coalition which is fighting in Yemen said it intercepted a ballistic missile fired by Houthi militants towards Riyadh.
It later added a UAV packed with explosives was brought down near Jazan.
Saudi Arabia intervened in the Yemenis civil war in 2015 with a number of Arab allies.
This was done to counter the Ansar Allah, or Houthi, movement which was gaining in power.
Sunni ruled Saudi Arabia is suspicious of the Shia Houthis which it alleges are Iranian backed.
The attack took place as Saudi Arabia hosts a prestigious Formula-E electric car race in Diriyah.
Colonel Turki Al-Maliki, a spokesman for the Saudi led coalition, accused the Houthis of deliberately targeting civilian areas and said this constitutes a war crime.
He added the coalition is taking active measures in response to the attack.
On Friday coalition forces claimed to have destroyed a Houthi ballistic missile and several drones that were targeting Saudi Arabia.
On Twitter one Saudi social media user, who claimed to be from Jeddah, commented: “A Houthi ballistic missile was just intercepted near Riyadh.
“This missile is one of hundreds that have purposefully targeted Saudi civilians.
“They are terrorists. We defend our nation from terrorists.”
The Saudi led coalition has been accused of committing war crimes since its anti-Houthi intervention in Yemen in 2015.
Yemen erupted into civil war in September 2014 when Houthi forces stormed the capital of Sana’a and announced the formation of a new government.
This sparked bitter fighting with forces loyal to the internationally recognised Yemeni government, currently led by Abdrabbuh Mansur Hadi.
The US had been providing intelligence and logistical support to the Saudi led coalition but this was ended by President Biden on February 4.
The conflict also allowed both ISIS and Al-Qaeda to temporarily seize some territory.
More to follow…