Yemen's army spokesman Brigadier General Sharaf Luqman told the official Saba Net agency on Monday that the missile targeted a military base in the southwestern Saudi city of Khamis Mushait.
Saudi Arabia claimed it intercepted the missile before it could cause any damage.
The attack came after Saudi warplanes targeted al-Amaleqa camp in the Harf Sufyan district of Amran Province on Monday, killing 13 people, including five paramedics, and injuring at least 15 others.
The attack jolted peace talks being held in Kuwait between Yemen's Houthis and representatives of former President Abd Rabbuh Mansur Hadi.
Luqman said while Yemen is still committed to the truce, it reserves "the right to respond" to Saudi attacks.
The army spokesman said Saudi Arabia has launched more than 94 air raids since the ceasefire began on April 11, killing or injuring dozens of people.
Each side accuses the other of not respecting the truce.
On Monday, Mohammad Abdulsalam, who heads the Houthi delegation, said the peace talks have little chance of success as Saudi Arabia and its side in the peace talks are unwilling to make any concessions.
The Houthis and their allies have demanded the formation of a consensus transitional government before forging ahead with other issues.
They have also demanded the withdrawal of a US force operating in the south of the country along with UAE troops.
Direct negotiations scheduled for Sunday were cancelled after Hadi's representatives pulled out of the talks.
UN envoy to Yemen Ismail Ould Cheikh Ahmed called on the warring parties to "make concessions in order to strike a comprehensive peaceful solution" to the conflict.
"The participants in the Kuwait negotiations must reflect the aspirations of the Yemeni people. I am confident that Yemenis want an end to the conflict," he said in a statement after separate meetings with delegations.
There has been mounting international pressure to bring an end to the Saudi war in Yemen, which has killed more than 9,400 people and displaced 2.8 million since March last year.
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