Witnesses in the Saudi capital posted pictures on social media showing a cloud of smoke in the air, and there were no reports of any damage.
The Houthi movement’s al-Masirah TV said rebel fighters had fired a Burkan-2 missile at the al-Yamama Palace.
Last month, a similar missile came close to hitting Riyadh’s airport.
Saudi Arabia and the US have accused Iran of supplying the Houthis with the missile.
Iran has denied arming the Houthi movement, which has been fighting a war against Yemen’s government and the Saudi-led coalition since 2015.