"A rocket was launched from the Gaza Strip at southern Israel and hit in the city of Sderot, causing damage to a building," a statement from the military read. "No injuries have been reported."
Israeli media said the rocket had hit a kindergarten.
Medics said they treated two people for shock.
No group in Gaza claimed responsibility for the attack, which came hours after Israel announced a lockdown on the West Bank city of Hebron and cuts in monthly tax payments made to the Palestinian Authority, following a wave of deadly attacks on Israelis.
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Smaller, more radical Islamist groups have often been blamed, with Hamas forces either unwilling or unable to prevent the rocket fire.
Israel categorically holds Hamas responsible for rocket attacks from Gaza.
Earlier yesterday, the Middle East diplomatic quartet said that the "lack of control of Gaza by the Palestinian Authority, and the dire humanitarian situation" were among the factors that "feed instability and ultimately impede efforts to achieve a negotiated solution."