Two explosions were heard in the city, according to an AFP photographer.
A spokesman for the Saudi-led coalition said Saudi air defences hours earlier had also intercepted a ballistic missile originating from Yemen and targeting Saudi Arabia's southern city of Jizan.
Colonel Turki al-Maliki blamed the "Iran-backed Huthi" rebels in Yemen for the attack.
Riyadh has long accused its regional rival Tehran of supplying the Huthis with ballistic missiles.
Saudi Arabia launched a military coalition in Yemen in 2015, aimed at rolling back the Huthis and restoring the internationally recognised government to power.
The Huthis have in recent months intensified missile attacks against Saudi Arabia.
The latest salvo came a day after US President Donald Trump exited the Iran nuclear agreement, which he criticised for not including measures to curb Tehran's ballistic missile programme.