The explosions were heard after residents received air raid warnings urging them to seek shelter.
The Saudi-led coalition said early Sunday that it had shot down two drones in the Riyadh area. The coalition also said it had intercepted a ballistic missile fired by the Iran-backed Houthi movement towards Riyadh.
The Houthi movement in Yemen has stepped up attacks on Saudi Arabia in recent weeks, including against the capital, Riyadh.