Witnesses reported loud explosions and bright flashes in the sky, but there were no immediate reports on any casualties.

"Saudi air defence forces intercept a missile northeast of Riyadh," Saudi state news channel Al-Akhbariya said.

Since November, Yemen's Iran-aligned Huthi rebels have fired multiple missiles into Saudi Arabia, all of which Saudi forces say they intercepted.

On November 4, Saudi Arabia thwarted a rebel missile attack on Riyadh international airport that Crown Prince and Defence Minister Mohammed bin Salman said "may amount to an act of war" involving Iran.

The Huthis expelled pro-government forces from the capital in September 2014 and went on to seize swathes of the impoverished Arabian Peninsula country.

This prompted the Saudi-led coalition to intervene militarily in Yemen on March 26, 2015 to help the government push back the Shiite Huthi rebels.

Since then, around 10,000 people have been killed and 53,000 wounded in Yemen, which is also battling cholera and diphtheria outbreaks.

The United Nations says living conditions in the war-scarred country have reached catastrophic levels and that 8.4 million people face imminent famine.

Numerous rounds of UN-sponsored peace talks have failed to stem the bloodshed in Yemen.

The Huthis plan a huge rally in Sanaa on Monday to mark the war's third anniversary.