A statement issued by the coalition says the missile targeted the southwestern city of Khamis Mushait but was intercepted before dawn today. It says the coalition air force struck the missile's launching pad area.
No damage or casualties were reported.
The Saudi-led coalition backs Yemen's internationally recognised government of President Abed Rabbo Mansour Hadi against the country's Shite rebels known Houthis and their allies, former President Ali Abdullah Saleh's loyalists.
The rebels, who control Yemen's capital, Sanaa, are known to have seized a stockpile of Soviet-era Scud missiles.