A missile fragment last month killed an Egyptian resident of Riyadh - the first death reported in the capital as a result of the missile strikes.
Saudi Arabia's air defense forces intercepted a missile over Riyadh on Wednesday, state media reports.
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The announcement came after an AFP journalist witnessed explosions and heard three blasts over the capital, which has previously been targeted by Iran-backed Houthi rebels in Yemen.
One of the drones was targeting the Abha worldwide airport in Asir province, which led to a temporary suspension of air traffic, and a second was approaching a "civilian object" in Jizan province, Colonel Turki al-Malki said in a statement published by the state-run Saudi Press Agency.
The Houthis, in a statement carried by a news agency under their control, said the attack on Riyadh was directed at the defence ministry.
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Saudi Arabia and a coalition of mostly Gulf Arab states intervened in Yemen's civil war in 2015 to try and push back the Houthis after the movement drove the internationally recognised government into Saudi exile.
The missiles followed the downing of two Houthi drones earlier on Wednesday in Jizan and the nearby Saudi city of Abha, the coalition said.
Saudi coalition spokesman Turki al-Maliki accused rival Iran of being behind Wednesday's attacks.
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"The air force announced the execution of air strikes with the Qasef-1 aircraft on Aramco in Jizan", it said on its Twitter page. Yemen's Al Masirah TV, controlled by the Houthis, reported that the missile was targeting a Saudi Aramco facility in the city. The group unveiled the Qasef-1 drone a year ago.