Al-Masirah television reported that the Scud, a powerful Cold War-era weapon, had been fired at a military base near the city of Khamees Mushait in the kingdom's southwest.
The area is home to the King Khaled air base, the largest air force base in southern Saudi Arabia, the world's top oil exporter, but there are no oil facilities in the vicinity.
Brigadier General Sharaf Luqman, a spokesman for Yemen's armed forces allies with Houthi fighters, says the missile hit the base and caused "widespread destruction". There was no immediate comment from the Saudi side.
Residents in Yemen's capital reported hearing a roar as what they said was a Scud was launched from near the city.
"The army and people's committees at dawn today fired a ballistic missile in response to the continuation of the Saudi aggression in the commission of war crimes against the Yemeni people," the source said.
Saudi Arabia led an Arab military intervention against the Houthis beginning on March 26 to restore the Yemeni government ousted by the group and fend off what it sees as the creeping influence of the Shi'ite Muslim group's main ally, Iran.
The Houthis say their rise to power is a revolution against corrupt officials beholden to Saudi Arabia and the West.
Air strikes and ground fighting have killed at least 5,400 Yemenis, according to the United Nations, but near daily air attacks by the Arab alliance on Yemeni missile depots appear not to have exhausted their supply.
Scuds have been launched at Saudi Arabia from Yemen several times during the nearly seven-month-old war, but have been shot down at least twice by Patriot missiles supplied by the United States.
Saudi-led war planes appeared to respond to the attack with several air strikes aimed and missile bases around the capital later on Thursday, residents said.
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