No injuries were reported in the attack, which came as the Iranian-backed Houthis and the Saudi coalition fighting them exchanged attacks on Tuesday night.
The fighting marked a fresh escalation in the widening Middle East crisis and came shortly after the Saudi coalition reported a series of alerts for incoming missiles heading for the Eastern Province, a major oil-producing region, and the capital Riyadh.
Saudi Arabia's civil defence said debris from two intercepted Houthi missiles fell on residential areas in Riyadh, injuring four people and damaging 15 homes.
The coalition of forces in Yemen led by Saudi Arabia carried out new air strikes on Tuesday on the Houthi rebel-held Yemeni capital, the Houthi-run broadcaster Al Masirah and residents said.
The strikes came shortly after a coalition spokesman urged residents to leave the area for their safety.
Witnesses reported hearing strong explosions in Sanaa hours after the coalition struck the Subaha fuel facility west of the city.
In a rare statement earlier, the coalition had urged civilians in the Houthi-controlled capital to leave the Yemeni Oil Company site, on a hill overlooking the capital, and nearby storage areas before a possible strike.
Coalition spokesman Major General Turki al-Maliki accused the Houthis of using the facility and its underground fuel depots for their arsenal of missiles and drones.
Houthi officials appeared to have anticipated the attack.
The oil company said its storage facilities were empty and that a Saudi strike would not affect oil reserves or supplies for residents.
Shortly after the warning, Houthi military spokesman Brigadier General Yahya Saree said on Telegram that any Saudi attack on Sanaa would be met with a "firm and painful" response in the Saudi capital, Riyadh.
Hours later, Saudi Arabia issued alerts for incoming missiles heading for Riyadh and the Eastern Province but quickly said the danger had passed.
The coalition said it had intercepted a series of Houthi-launched ballistic missiles, drones and cruise missiles in multiple areas in the country, including Riyadh and the southern province of Wadi al-Dawasir.
Airlines moved a number of their planes out of Riyadh on Tuesday on the advice of insurers and government officials because of the threat of additional attacks.
More than 3120 flights scheduled to depart from airports across Saudi Arabia since October 8 have been cancelled or listed as not operating, representing about 41 per cent of scheduled departures, according to aviation analytics firm Cirium.
That includes more than 300 flights that had been scheduled to depart on Wednesday.
Several airlines have suspended service to the kingdom because of the Houthi attacks on airports.
It was unclear whether the Tuesday strike in Yemen was a signal of military escalation or a carefully measured response to recent deadly attacks on the Riyadh airport.
Saudi Arabia is still scrambling to determine how its air defences failed to intercept a barrage of missiles and drones fired by the Houthis, including an attack on Riyadh's international airport on Saturday that killed at least 13 people and wounded more than 300.
The latest conflict between the Saudis and the Houthis began in September after the rebels seized key areas along the Bab el-Mandeb Strait, a critical waterway for the transport of Gulf oil and other goods at the southern end of the Red Sea off Yemen.
The Saudi-led coalition, backing forces aligned with Yemen's internationally recognised government, has been trying to retake them.
Saudi Arabia's cabinet on Tuesday warned the Houthis they would "face consequences" for their repeated attacks on the kingdom.
