The interception occurred "this morning at about three o'clock," Brigadier General Ahmed al-Assiri, spokesman for the Saudi-led coalition, told AFP.
"They are still targeting the cities," he said.
Roughly 100 kilometres (60 miles) from the Yemeni border, the King Khalid Air Base, near the city of Khamis Mushait, is at the forefront of Saudi-led air operations against Shiite Huthi rebels and their allies, elite troops loyal to former president Ali Abdullah Saleh in Yemen.
Rocket fire from Yemen and border skirmishes have killed about 90 civilians and soldiers in southern Saudi Arabia since the coalition intervention began.
The United Nations says more than 6,100 people in Yemen have been killed in the conflict since March, about half of them civilians.