The Badr 1 short-range ballistic missile was fired at the military site in Jizan on Sunday, Saba news agency reported.
Dozens of Saudi troops were killed and injured in the attack.
Yemen’s army and the Houthi Ansarullah movement have fired a salvo of missiles at Saudi Arabia in recent months, including the capital Riyadh, while the kingdom has launched thousands of airstrikes on Yemen, killing hundreds of civilians at hospitals, schools and markets.
Riyadh frequently reports intercepting missiles fired from Yemen, but various reports have pointed out that US-made Patriot interceptors were repeatedly failing against the counterattacks.
Yemen’s defenseless people have been under massive attacks by the coalition for over three years but Riyadh has reached none of its objectives in Yemen so far.
Since March 2015, Saudi Arabia and some of its Arab allies have been carrying out deadly airstrikes against the Houthi Ansarullah movement in an attempt to restore power to fugitive former president Abd Rabbuh Mansour Hadi, a close ally of Riyadh.
Over 14,000 Yemenis, including thousands of women and children, have lost their lives in the deadly military campaign.