Saudi air defence forces were quoted by broadcaster Al-Arabiya as saying they intercepted the missile north-east of the capital.
A TV channel linked to Houthi rebels in Yemen said the missile was launched at the airport.
Saudi forces have reported shooting down Houthi missiles before.
State news channel Al-Ekhbariya said the missile was "of limited size" and no damage was caused.
A long-range ballistic missile was fired at King Khalid International Airport in Riyadh, the Houthi TV channel Al-Masirah reported.
Yemen has been devastated by a war between forces loyal to the internationally-recognised government of President Abdrabbuh Mansour Hadi and those allied to the Houthi rebel movement.
Saudi Arabia is leading a campaign to defeat the Houthis.