"The Iranian-Houthi militia has targeted civilians with a projectile" killing three civilians in Jazan, coalition spokesperson Colonel Turki al Maliki said.
Malki, quoted by the official Saudi Press Agency, did not identify the type of 'projectile' but said it was "launched deliberately to target civilians" and warned of retaliation.
Yemen's Houthis and Saudi Arabia in secret talks to end war: sources
"The Joint Forces Command of the coalition will strike with an iron fist all those who threaten the safety and security of Saudi nationals, residents and critical capabilities" he said.
The Iran-backed Houthi rebels have ramped up missile attacks against neighbouring Saudi Arabia, which leads a military coalition that has fought the insurgents since 2015.
On Tuesday, Saudi air defences intercepted a ballistic missile that targeted the western city of Yanbu after being fired from rebel-held territory in Yemen.
It came as coalition-backed Yemeni forces advance on the rebel-held Red Sea port of Hodeida, the main conduit for humanitarian supplies into a country teetering on the brink of famine.
Saudi-led air strike kills top Houthi official in Yemen
In late May, air defences intercepted Houthi missiles over the southern cities of Najran and Jizan but there were no casualties.
Riyadh accuses its regional rival Tehran of supplying the Houthis with ballistic missiles, a charge Iran denies.
Saudi Arabia, the United Arab Emirates and other Arab allies intervened in Yemen in 2015 to push back the rebels and restore the internationally-recognised government to power after the Houthis ousted it from swathes of the country including the capital Sanaa.
Nearly 10,000 people have been killed since the alliance launched its intervention in Yemen in March 2015, contributing to what the UN has called the world's worst humanitarian crisis.
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