The ballistic missile was fired from the northern Yemeni province of Amran towards the southern Saudi city of Jizan, said a coalition statement published by the official Saudi Press Agency.
"Shrapnel from the intercepted missile scattered over residential areas, leaving a Yemeni resident killed and 11 other civilians wounded," the coalition said.
The Houthis have in recent months ramped up missile attacks against Saudi Arabia, which Riyadh usually says it intercepts.
Yemen's Houthis indicate 'willingness to hand over port to UN'
Wednesday's attack brings the tally to 165 Houthi missiles launched since 2015, according to the coalition, which that year joined the Yemeni government's fight against Houthi militants.
In 2014, the Houthis overran the Yemeni capital and seized control of much of northern Yemen as well as a string of ports on the Red Sea.
Saudi Arabia, the United Arab Emirates and their allies intervened in the conflict the following March, aiming to push back the Houthis and restore the internationally recognised government to power.
Riyadh accuses its regional rival Tehran of supplying the Houthis with ballistic missiles, a charge Iran denies.
The war in the impoverished country has left nearly 10,000 people dead and unleashed what the UN describes as the world's worst humanitarian crisis.
COMMENTS
Comments are moderated and generally will be posted if they are on-topic and not abusive.
For more information, please see our Comments FAQ