So far, no one has been injured in the attack, officials said.
The explosion occurred about 20 miles (32 km) from the race track in Jeddah, where the second round of the Saudi Arabian Grand Prix is scheduled to take place this weekend.
The Saudi Arabian Grand Prix is the second round of this year’s F1 World Championship and tourists from all over the world are expected to take part.
The coalition, which has been fighting the Houthis for the past seven years, said a ballistic missile was fired at the city of Jazan in the southwest.
“A hostile projectile fell on a distribution station in Samt (city). The projectile caused a limited fire at the distribution station, there were no casualties,” state media quoted the Saudi-led military coalition as saying.
Houthi spokesman Yahya Al Sari said on Twitter that a statement regarding a large-scale operation “in the depths” of Saudi Arabia will be released in the coming hours.
Over the past week, there have been several attacks against the Saudi Arabian oil giant Aramco.
Saudi Arabia’s foreign ministry said the attack compromised the security of oil supplies, which have come under threat worldwide as the West attempts to move away from Russian hydrocarbons following its invasion of Ukraine.
Earlier this week, the US mission to the Kingdom of Saudi Arabia condemned the Houthi attacks. “These unacceptable attacks endanger the civilian population and civilian infrastructure and must be stopped,” the statement said.