The missile was destroyed over the capital and fragments landed in the airport area, officials quoted by the official Saudi Press Agency said.
A TV channel linked to Houthi rebels in Yemen said the missile was fired at the King Khalid International Airport.
The civil aviation authority said that air traffic was not disrupted.
Saudi forces have reported shooting down Houthi missiles before, though none have come so close to a major population centre.
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The rebel group has access to a stockpile of Scud ballistic missiles. Saudi forces have previously brought them down with Patriot surface-to-air missiles purchased from the US.
The Houthis fired a missile towards Riyadh in May, a day before US President Donald Trump was due to arrive in the city for a visit, but it was shot down 200km (120 miles) from the capital.
Yemen has been devastated by a war between forces loyal to the internationally recognised government of President Abdrabbuh Mansour Hadi and those allied to the Houthi rebel movement.
Saudi Arabia is leading a campaign to defeat the Houthis, and is the biggest power in an international air coalition that has bombed the rebel group since 2015.
On Wednesday a suspected strike by the Saudi-led coalition killed at least 26 people at a hotel and market in northern Yemen, medics and local officials said.
The coalition, which rights groups say has bombed schools, hospitals, markets and residential areas, said it struck a “legitimate military target”.
UN-brokered talks have failed to bring an end to the bloodshed in Yemen, which has claimed more than 8,600 lives and injured nearly 50,000 since the Saudi-led campaign began.
The conflict has also left 20.7 million people in need of humanitarian assistance, created the world’s largest food security emergency, and led to a cholera outbreak that is believed to have affected 884,000 people and caused 2,184 deaths.