Saudi-owned broadcaster Al Arabya reported that the country's air forces destroyed a missile.
And Reuters witnesses claimed to have heard at least four loud booms across Riyadh.
Just like previous similar attack, this missile launch have been claimed by a radical armed Islamist group called Houthi, which in the last months attacked Saudi Arabia five times.
Speaking through their official channel al-Masirah TV, the Yemeni rebels said that they fired missiles at "economic targets" in Saudi capital.
They said: "The missile force struck economic targets in Riyadh with a salvo of ballistic missiles."
Authorities haven't yet commented on the event.
GETTY
There were no immediate reports of casualties or damage.
The area has been constantly on the edge since the Saudis formed a coalition including other Arabic and African countries against the Yemen-based group in 2015, sparking the Yemeni civil war.
While the Saudi-led coalition supports the current Yemeni government and is backed by the US, the Yemeni rebels, who control Yemen's capital Sana'a, want to overturn President Abdrabbuh Mansur Hadi as it is loyal to the former leader of the country Ali Abdullah Saleh.
The United Nations estimated that 10,000 people have died in the three-year-old war and said that more than 22 million civilians need relief aid.
GETTY
Experts on the region warn the rebel group’s actions could escalate into a war between Saudi Arabia and Iran, which has been accused by Riyadh of backing the Houthis.
Previous attacks cost Yemen dearly as a Saudi-led coalition launched air strikes to the country in retaliation, killing hundreds.
In March the Saudi army intercepted seven missiles over Riyadh launched by the rebels, while in April it stopped three more.
The attack came a day after U.S. President Donald Trump pulled out of a nuclear deal with Iran, partly over concerns the pact did not address Tehran's ballistic missile programme or its role in conflicts in Yemen and Syria.
More to follow...