The facility reportedly belonged to the oil giant Saudi Aramco.
"An Iranian ballistic missile launched from Sadaa towards Riyadh was successfully intercepted by Saudi Air Defence earlier today", Colonel Turki al-Malki, spokesman for the Saudi-led coalition fighting the Huthis, said.
Last month, one man was killed in Riyadh by debris after the military shot down a flurry of missiles, the first casualty of the Yemen war in the Saudi capital.
The statement came after Yemen's Houthi movement said it launched a drone strike on a facility belonging to the Saudi state energy company.
Qasefs do not carry missiles but have previously be used as a "suicide drones" to target Saudi air defences in Yemen, the research group said.
The attack on Wednesday marked the fourth time in five months that missiles have flown over Riyadh, as the Houthis step up efforts to demonstrate they can reach the Saudi capital, and threatens to escalate a regional rivalry between Iran and Saudi Arabia.
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Wednesday's missiles followed the downing of two Houthi drones earlier in the day in Jizan and the nearby Saudi city of Abha, the coalition said.
The kingdom and its mostly Gulf Arab allies intervened in a civil war in Yemen in 2015 to roll back the Houthis after they had pushed the government into Saudi exile.
More than 10,000 people have been killed in Yemen since the beginning of the conflict.
Saudi Arabia accuses Iran of backing the Houthis, a charge Iran has denied.
Gen. Abdul Karim al-Sinani and the Joint Operations Command of the Arab coalition on Wednesday took part in the victory festivities in the districts of Midi which were liberated from Houthi militias.
The first targeted Abha global airport in Asir province, while the second was approaching a "civilian object" in Jizan province.