The attacks mark 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, threatening to escalate a regional rivalry between Iran and Saudi Arabia.
Saudi Arabia has since March 2015 led a coalition of Arab states fighting to roll back the Huthi rebels in Yemen and restore its neighbour's internationally-recognised government to power.
Saudi state-run TV channel al-Ekhbariya carried an official statement saying the kingdom's defense forces intercepted missiles fired at Riyadh and the southern city of Jizan.
Almost 10,000 people have since been killed in the conflict, in what the United Nations has called the world's worst humanitarian crisis.
Saudi coalition spokesman Turki al-Maliki accused rival Iran of being behind Wednesday's attacks.
The coalition accuses the Houthis of being armed and supported by Iran - charges the group and Tehran deny.More news: Uber swoops in for United States electric bike hire service Jump
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The Houthi movement said earlier it had launched a drone strike on a facility belonging to state oil firm Saudi Aramco, though the company said its facilities there were operating "normally and safely".
Meanwhile, the Yemeni Defense Ministry reported that 30 Houthi fighters were killed in the air bombardment by Saudi-led warplanes in central al-Bayda Province.
Saudi forces said they also destroyed two Houthi drones targeting the cities of Jizan and the airport in Abha, also near the border with Yemen.
A second drone was identified while approaching a "civilian object" in Jizan province, he added. The group unveiled the Qasef-1 drone a year ago.
According to the Houthis, the Abha airport has suspended flights following the drone air strike.