Iranian-allied Houthi rebels are said to have made the attack with no casualities as Middle East tensions remained high between Tehran and Washington.
Following the collapse of United Nations-backed talks in September, the coalition announced it was relaunching an assault on Hodeida city and its Red Sea port.
The release came nearly 10 months after the rebels arrested them along with dozens of the former President's relatives following deadly clashes in the capital that killed Saleh.
Saudi Arabia said a ballistic missile intercepted over Riyadh Tuesday was "Iranian-Huthi", days after Washington accused Tehran of manufacturing a missile fired by the Yemeni rebels.
Saudi Arabia intercepted a Yemeni rebel missile over Riyadh today, state media said, as the rebels said the target was Yamamah palace, the official residence of King Salman.