The attack was launched from Yemen's northern governorate of Saada, a Huthi stronghold, and "intercepted" at 7:23 local time (0423 GMT), Colonel Turki al-Maliki told state news agency SPA.
Maliki, spokesman for the Saudi-led military coalition supporting the government in Yemen, said the missile was headed toward the city of Khamis Mushait -- about 160 kilometres (100 miles) north of the border.
Riyadh had warned that "Iranian-manufactured ballistic weapons" threatened the kingdom's security following an attack it said was intercepted near Riyadh airport in November.
Maliki on Monday accused the Huthis of "repeatedly targeting densely populated cities" and accused the kingdom's regional rival Iran of delivering the weapons to the insurgents.
The coalition has been blacklisted by the UN for the killing and maiming of children in air raids on Yemen.
The United States, which backs the Saudi campaign against the Huthis, has also accused Iran of being at the origin of the ballistic missiles, a charge denied by Tehran.
Russia said last week that evidence presented by the US was inconclusive, signalling it would oppose a bid to slap UN sanctions on Tehran.
More than 9,200 people have been killed since the Saudi-led alliance joined the Yemen war in March 2015, according to the World Health Organisation, triggering what the United Nations has called the world's worst humanitarian disaster.