It is a US-owned cargo ship sailing under the flag of the Marshall Islands that was attacked, according to British security company Ambrey.
The missile is said to have caused a fire. No one was injured, and the ship should remain seaworthy.
This incident comes after a series of attacks launched by the Houthi rebels in Yemen against international shipping in the Red Sea. The background is the war in Palestine and Israel.
The Houthi movement is a Shiite Muslim rebel group from Yemen with ties to Iran and supports Hamas in Palestine. Ships with connections to Israel are particularly affected.
Last week, the United States and Britain attacked several targets in Yemen to enhance security in the region. The Houthi rebels then vowed revenge.
The attacks caused major problems for the movement of ships along the main sea route between Europe and Asia, which is very important for global trade.
Many Norwegian shipping companies also use this route, but most are now diverting traffic.
Fears of escalation of the conflict caused the price of oil to rise to more than $80 a barrel on Friday, but it has since fallen somewhat again.