State news channel Al-Ekhbariya said the missile was "of limited size" and no damage was caused.
The authority said in two tweets: "The Saudi air defence managed to intercept a ballistic missile towards Riyadh".
Saudi military officials blamed the Houthi rebel forces in Yemen, Al Arabiya reported, adding that it proved the "involvement of one of the countries of the region sponsoring terrorism".
The explosion occurred in one of the terminals of the global airport king Khalid, 35 km from Riyadh.
United States to issue import duties on Canadian softwood lumber
The ministers said Ottawa will turn to litigation if required to defend the industry and expects to prevail as it has in the past. Canadian unions and lumber companies fear the issue will eventually cause layoffs once prices and demand fall.
Houthi rebels are opposed to the troops of President Abd-rabbu Mansour Hadi, supported by the forces of the Arab coalition led by Saudi Arabia.
The Houthi rebels have seized control of Yemen's capital Sanaa, which has forced the government into exile.
A Saudi-led coalition has been bombing Houthis and their allies in Yemen since March 2015 in a war that has devastated Yemen and killed thousands of people.
The attack, which struck the Sahar district of the vast territory that borders Saudi Arabia, demolished the budget hotel and reduced market stalls outside to a heap of twisted sheet metal.