A file picture of the spokesman of the Saudi-led military coalition Colonel Turki al-Maliki speaking during a press conference in the Saudi capital Riyadh. (AFP)
"We have destroyed sites in Sanaa linked to ballistic missiles and drones," the official Saudi news agency SPA tweeted.
It earlier said the Saudi army had intercepted and destroyed a ballistic missile fired at the kingdom by Houthi rebels in neighbouring Yemen.
Iran-backed Houthi rebels control much of northern Yemen, including the capital Sanaa, which they seized in 2014.
A Saudi-led coalition intervened in Yemen a year later to prop up the government in a conflict that has left tens of thousands dead and millions displaced.
The SPA said the target of the retaliatory strike included an area of "caves and secret ballistic missile warehouses on the outskirts of Sanaa".
The Saudi defence ministry, cited by the news agency, denounced the Houthi missile-firing and the rebels' "vicious and irresponsible behaviour of targeting civilians".
"The ministry of defence will take all necessary and deterrent measures to protect civilians and its territory," the SPA said.