The Iran-aligned group had said it had launched the drone at a military air base.
And the official Saudi Al-Ekhbariya TV quoted a coalition statement as saying that the drone had been destroyed. Meanwhile, the Houthi military spokesman said in a tweet on Twitter that the strike had succeeded.
The coalition intervened in Yemen in March 2015 after the Houthis expelled the internationally recognized government from the capital, Sanaa.
The Houthis have repeatedly targeted Khamis Mushait and other Saudi cities on the border with Yemen. The coalition says it intercepts most attacks.