World Bulletin / News Desk
The missile was fired into the southern city of Najran but was shot down, the coalition said in a statement cited by the official SPA news agency.
No injuries or damage were reported.
The coalition said its forces had struck the source of fire inside Yemen following the missile attack.
The Saudi Al Ekhbariya channel earlier said two ballistic missiles fired from Yemen had been intercepted by Saudi air defenses.
Last month, the Arab coalition said it had shot down a ballistic missile fired from Yemen toward the holy city of Makkah, a claim denied by the Houthis.
Impoverished Yemen has been wracked by chaos since late 2014, when the Shia Houthi group overran capital Sanaa and other parts of the country.
The conflict escalated in March of last year when Saudi Arabia and its Arab allies launched a major air campaign aimed at reversing Houthi military gains and shoring up Yemen’s embattled Saudi-backed government.
Nearly 7,000 people have been killed in the conflict to date -- more than half of them civilians -- while another three million are believed to have been displaced.