Saudi air defenses intercepted two ballistic missiles fired by Yemen's rebels, according to local media on Monday.
The Saudi-funded Al-Arabiya television said one missile was shot down over the city of Taif, while the other was intercepted over the city of Jeddah.
Saudi authorities have yet to issue an official statement on the interception.
There was no comment from the rebel Houthi group on the claim.
On Sunday, the Houths threatened to launch rocket attacks against vital installations in Saudi Arabia and the United Arab Emirates (UAE).
Saudi Arabia and UAE are members of a military coalition that has been pounding Houthi positions in Yemen since 2015, one year after the rebel group overran much of the country, including capital Sanaa.
Last week, Riyadh accused the Houthis of carrying out drone attacks on two oil-pumping stations on the East-West pipeline, which carries Saudi oil from the eastern province to the port on the west coast.
Saudi Arabia has called two emergency Gulf and Arab summits in the city of Makkah on May 30 to discuss the implications of the attacks.