The drones targeted Jizan airport, the coalition said in a statement released by the official Saudi Press Agency. The coalition did not report any damage or casualties.
Houthi rebels earlier claimed drone attacks on the airports in Jizan and Abha, the capital of southern Asir province, according to the group's Al-Masirah TV.
The coalition did not confirm the attack on Abha.
The rebels in Yemen - who have faced persistent coalition bombing since March 2015 which has exacted a heavy civilian death toll - have stepped up missile and drone attacks across the border in recent weeks.
On Tuesday, a Yemeni rebel attack on Abha airport left nine civilians wounded, the coalition said.
On June 12, a rebel missile attack on Abha airport wounded 26 civilians, drawing promises of "stern action" from the coalition.
And on June 23, another rebel attack on Abha airport killed a Syrian national and wounded 21 other civilians, according to the coalition.
The raids come amid heightened regional tensions after Washington accused Iran of shooting down a US drone over international waters and of carrying out attacks on oil tankers in the strategic Gulf of Oman.
Saudi Arabia has repeatedly accused Iran of supplying sophisticated weapons to Houthi rebels, a charge Tehran denies.
The coalition intervened in support of the Yemeni government in 2015 when President Abedrabbo Mansour Hadi fled into Saudi exile as the rebels closed in on his last remaining territory in and around the second city Aden.
Since then, the conflict has killed tens of thousands of people, many of them civilians, relief agencies say.
The fighting has triggered what the United Nations describes as the world's worst humanitarian crisis, with millions of people displaced and in need of aid.
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