The missile was brought down near King Khaled International Airport on the northern outskirts of the city and did not cause any casualties, state-owned Al Ekhbariya TV reported.
Rocket fragments fell near the airport grounds, but flights were not disrupted, the Saudi Civil Aviation Authority said.
Yemen's Houthi rebels fired the missile across Saudi Arabia's southern border, according to several Houthi-owned media outlets, including Al-Masirah and SABA.
It is the first time a Houthi missile has come so close to a heavily populated area and appears to be the farthest such a missile has reached inside Saudi Arabia. Riyadh is around 620 miles (1,000km) north of the border with Yemen.
Saba News, which is run by the Houthi rebels, reported the missile was a Burkan H2 and the airport had been the target.
A Saudi military spokesman condemned the attack in a statement, saying the missile was fired "indiscriminately" toward a populated civilian area.