Saudi Arabia said it intercepted a Yemeni rebel missile over Riyadh on Tuesday, as the rebels said the target was Yamamah palace, the official residence of King Salman.
An AFP correspondent heard a loud explosion at 1050 GMT, shortly before the scheduled unveiling of the Saudi budget, which is usually announced from the Yamamah palace by the king.
"Ballistic missile intercepted over Riyadh," the Saudi-led coalition battling Yemen's Huthi rebels said in a statement.
It was the second Huthi missile attack on Riyadh in the past two months.
The first attack, which targeted Riyadh international airport on November 4, triggered the tightening of a longstanding Saudi-led blockade of Yemen -- already on the verge of famine.
Saudi Arabia angrily accused its arch foe Iran of supplying the missile to the rebels, a charge Tehran strongly denied.
On Thursday, US ambassador to the United Nations Nikki Haley presented what she called "undeniable" evidence that last month's missile was "made in Iran".
But her comments went beyond the findings of a UN investigation which reached no firm conclusion on whether the missile came from an Iranian supplier, saying only that it had a "common origin" to some Iranian designs.