Saudi air defence forces were quoted by local media as saying they intercepted a missile north-east of the capital, which is thought to have come from Houthi rebels in Yemen, although this has not yet been confirmed, Express reports.
Saudi state-owned channel Al Ekhbariya TV said the missile was brought down north of King Khaled airport, and no casualties were reported.
Meanwhile, a Houthi-linked TV channel said the missile was launched at the airport.
Forces in the country have reported shooting down a number of missiles fired by the rebel group over the past few months.