Yemeni Houthi rebels fired a ballistic missile at Saudi Arabia's Najran region near the border between the two countries, the Houthi-controlled Masirah TV said on Wednesday.
The Badr-1 missile targeted "a new military camp," it said, without indicating when the missile was launched.
Saudi Arabia's military said on Tuesday its air defences intercepted a missile fired towards the southern city of Najran but there were no casualties.
Saudi Arabia is leading a Western-backed alliance of Sunni Muslim Arab states trying to restore the internationally recognized government of Yemeni President Abd-Rabbu Mansour Hadi, ousted from the capital Sanaa by the Houthis in 2015.
The Iran-aligned Houthis control most of the west of Yemen, including its Red Sea coast.
U.N. human rights experts said in a report on Tuesday that both the Saudi-led coalition and the Houthi militia may be guilty of war crimes in the conflict, which has raged for more than three years.
The experts' panel said air strikes by the coalition in Yemen have caused heavy civilian casualties, raising concerns about its targeting process.
The panel also accused Houthi fighters of restricting access on humanitarian aid and conscripting child soldiers. The Houthis regularly fire missiles on southern Saudi Arabia and occasionally aim for higher-value targets, such as the capital Riyadh or facilities of state oil company Aramco.
The United Nations has convened talks in Geneva on Sept 6, the first effort to negotiate the war in more than two years.