A cruise missile launched by Yemen's Houthi rebels struck a Saudi desalination station near al-Shuqaiq city on Thursday, Saudi-led coalition spokesman Turki al-Maliki was quoted as saying by the official Saudi Press Agency.
Al-Malki said the coalition would take appropriate measures to deal with all hostile and terrorist acts in line with International Humanitarian Law.
He claimed no casualties or damage, adding that they were investigating the nature of the projectile.
In Washington, White House spokesman Sarah Sanders said President Donald Trump had been briefed on the reports of a missile strike in Saudi Arabia.
Saudi Arabia accuses its regional arch-rival Iran of being behind the attacks, either directly or through supporting the Huthi rebels.
The Yemeni attacks against Saudi airports have witnessed an increase in frequency and intensity in recent weeks in retaliation for the attacks on Yemeni civilian areas that are being conducted from these sites.
Since then, the conflict has killed at least 10,000 people, according to the United Nations, while monitoring group Armed Conflict Location and Event Data Project (ACLED) on Wednesday said 91,600 people have been killed so far. A USA official said it had been shot down in global airspace over the Strait of Hormuz, and Trump said he suspected it had been shot down by mistake.
To counter what Washington says are threats from Iran, the United States military has sent forces including aircraft carriers, B-52 bombers and troops to the Middle East.
Despite the rising tensions, the US, Iran and Saudi Arabia have all said they do not want war to breakout in the region.