The Saudi-led military coalition fighting the Houthis said it intercepted a ballistic missile fired towards Riyadh.
The Houthis have repeatedly targeted Saudi airports, military facilities and oil infrastructure in the latest front in the Iran war.
Separately, the rebel-run health ministry reported two dead in attacks in Yemen on Tuesday and blamed the Saudis.
The Houthis, hardened by years of civil war, have emerged as Iran's most effective armed proxy of the moment, but experts say they also have their own agenda.
Either way, they are applying increasing pressure on a key US ally.
The sight of smoke rising from some of Saudi Arabia's most sensitive facilities has rattled the region and global markets, increasing questions for President Donald Trump, who has said he is evaluating whether the US should join the Saudi strikes on the Houthis.
The Riyadh residents spoke about the latest blasts on condition of anonymity for their safety. One lives in northern Riyadh, where King Khalid International Airport - targeted multiple times in the past week with strikes that have killed 17 people and hurt over 300 more - is located.
There were no immediate reports of casualties or damage.
The Saudi civil defence reported air raid alerts in Riyadh and Kharj province southeast of the capital.
Kharj is home to the state-owned Military Industries Corporation and Prince Sultan Air Base.
The Houthis on Wednesday claimed attacks against King Khalid International Airport, oil facilities in the eastern city of Dhahran, which hosts the headquarters of Saudi giant Aramco, and an Aramco refinery in Riyadh, calling them retaliation for "treacherous Saudi aggression" against the rebel-held Yemeni capital of Sanaa and other areas.
The Houthis have been warning in advance of attacks on both airports and oil facilities, and airlines have been suspending operations and pulling out planes.
On Tuesday, a fire broke out in an administrative building at a facility operated by Aramco, one of the world's largest oil companies.
The escalation has highlighted Saudi Arabia's struggle to intercept Houthi missiles and drones, and the kingdom's efforts to press allies sicj as the United States for more military support.
Meanwhile, the Saudis have been carrying out air strikes in rebel-held areas of Yemen in support of the country's internationally recognised government.
The fighting erupted in 2026 when the rebels blamed the Saudis for a strike on the airport in rebel-held Sanaa.
That attack revived anger over a Saudi blockade of the Houthis, and the rebels in turn declared their own blockade against the kingdom.
A week and a half ago, the Saudi-led coalition responded with a major military offensive.
On Wednesday, the Houthi-run health ministry said two people were killed in an air strike on Tuesday in the Ras Isa port area in Hodeida province.
The strike hit a facility of the state oil company and wounded two others, the ministry said, and blamed Saudi Arabia.
The Saudi-led coalition also attacked an oil facility in Sanaa.
The targeting of fuel storage facilities in Houthi-controlled areas marked a new phase in the Saudi-led coalition's campaign, said Ahmed Nagi, senior Yemen analyst at the International Crisis Group, a think tank.
He said in a war of attrition, the rebels could risk losing much of their military capacity.
"The Houthis are betting on pressure, while the Saudis are betting on time. The Houthis are trying to strike critical infrastructure in Saudi Arabia to raise the cost of continued military intervention and support for the Yemeni government," Nagi said.
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