A ballistic missile, allegedly shot by Houthi rebels from Yemen towards Saudi Arabia, was shot down Monday night by the country's border forces, Arab media said.
"If the Huthis continue targeting industrial or residential facilities, the response will be hard and painful", said coalition spokesman Turki al-Malki, displaying what he claimed were remnants of the intercepted aircraft.
Saudi Arabia has intercepted the latest in a flurry of missiles fired towards its territory from neighbouring Yemen, authorities said on Friday.
Malki told reporters in the eastern city of Al-Khobar that the airport of rebel-held capital Sanaa was used as a military base to orchestrate the drone strike.
Najran, a Saudi border city with Yemen, has come under constant fire from Houthi ballistic missiles, causing human and material losses since the conflict began.
A major attack targeted Riyadh global airport on November 4, and another strike on December 19 targeted Riyadh's Yamamah palace, the official residence of the king.
Saudi Arabia and Arab partners including the UAE intervened against the Houthis in Yemen's war in 2015 to restore the internationally recognised government of President Abd-Rabbu Mansour Hadi.
Houthis have been controlling much of Yemen's north by force, including the capital Sanaa since 2014.
The United Nations says the conflict has triggered the world's worst humanitarian crisis, as 22.2 million people need aid and 8.4 million are on the verge of starvation.