The missile was launched from Saada province toward the Makkah area, said a statement.
The rebels, known as Houthis, and their allies are known to have a stockpile of Soviet-era Scud missiles and locally designed variants.
Yemeni soldiers and their allies fired a Borkan-1 (Volcano-1) missile towards King Abdulaziz International Airport, located 19 kilometers north of the western Saudi port city of Jeddah, Arabic-language al-Masirah television network reported.
It also drew the immediate anger of Saudi citizens, as the protection of Mecca - about 500km from the border with Yemen - is a key pillar of the Saudi royal family's prestige and the country's national identity.
"The air defence was able to intercept and destroyed it about 65 kilometres (40 miles) from Mecca without any damage".
It is the insurgents' deepest strike yet into the kingdom amid the country's stalemate civil war.
The Houthi-controlled SABA news agency said the missile "directly hit" the airport and caused massive destruction.
The Gulf Cooperation Council condemned the attack as "a provocation of the feelings of all Muslims and a disrespect of the sanctity of Islamic holy places". Many also immediately linked the attack to Iran, further inflaming regional sectarianism.
Foreign Minister Sheikh Abdullah bin Zayed of the United Arab Emirates, a member of the coalition and the GCC, pointed the finger at Iran, which backs the Houthis.
"The Iranian regime is supporting a terrorist group that fires its rockets on Mecca, is this an Islamic regime as it claims?" he tweeted.
Civil war broke out in September 2014 when Houthi rebels, who are Shia, took over the capital Sanaa and overthrew the country's government. The most recent plan apparently sidelines President Abed-Rabbo Mansour Hadi of Yemen's internationally recognized government.