Saudi Arabia intercepted a missile fired on its territory from Yemen's rebel-held capital, the Saudi-led coalition announced on Sunday, in the latest cross-border attack on the kingdom.

Saudi air defence forces intercepted "a Scud missile fired from Sanaa in Yemen towards the city of Najran" late on Saturday, said the coalition that has been battling rebels in Yemen since March.

Coalition jets "immediately destroyed the missile launch pad after identifying its location in Yemen," it said in a statement published by Saudi Arabia's official SPA news agency.

Yemen's Iran-backed rebels have intensified their rocket attacks across the Saudi border during the past week, prompting the coalition to threaten severe reprisals against them.

The Saudis have deployed Patriot missile batteries designed to counter tactical ballistic missiles.

In a statement published on their sabanews.net website, the rebels said they fired rockets at Jizan and Najran on the Saudi side of the border on Saturday, causing "losses in life and equipment".

They also said they fired another ballistic missile on Najran on Sunday, but Saudi Arabia has not yet confirmed this attack.

More than 80 people, most of them soldiers and border guards, have been killed in shelling and cross-border skirmishes in the kingdom's south since coalition operations began in Yemen.

In Yemen, the conflict has left nearly 6,000 people killed since March, according to UN figures.