Saudi Arabia says a ballistic missile has been intercepted over the capital, while Yemen's Huthi rebels say the target was the Al-Yamama royal palace.
There were no reports of casualties or damage.
The Saudi-led coalition fighting Shi’ite Huthi rebels in Yemen said the missile was intercepted over Riyadh on December 19, as videos posted on social media showed a small cloud of smoke in the sky.
Meanwhile, the Huthi rebels said that they fired a ballistic missile targeting the Al-Yamama palace, with their Al Massira television channel reporting that the target was a large gathering of Saudi leaders.
An AFP correspondent heard a loud explosion shortly before the scheduled unveiling of the Saudi budget, which is usually announced from at the palace by King Salman, the agency reported.
Last month, Saudi Arabia intercepted two ballistic missiles fired from Yemen.
Saudi Crown Prince Muhammad bin Salman has accused Iran of "direct military aggression" by supplying missiles to Huthi rebels.
Sunni-ruled Saudi Arabia and its allies in the Persian Gulf region have also accused predominantly Shi'ite Iran of fomenting terrorism and conflict in the region.
Tehran denies the accusations.