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The ceasefire, for an initial period of three days, took effect shortly before midnight on Wednesday under a United Nations plan which aims to allow sorely needed aid to reach suffering civilians.
A Saudi-led Arab coalition intervened in March 2015 to support the government after rebels overran much of Yemen.
Saudi Arabia and Washington accuse Iran of arming the insurgents, charges Tehran denies.
Coalition spokesman Major General Ahmed Assiri told Al Ekhbariya state television that there had been "a certain number of violations which we are going to prove".
If they continue, he said, the coalition "will take appropriate measures".
Yemeni residents have had enough of failed truces.
"We want a lasting ceasefire," said Sadok Abdullah, 28, a resident of rebel-held Sanaa.
"They're mocking us with a three-day truce," said Ali Al Doush, a 32-year-old civil servant who has not been paid for three months.
"We want an end to the war."
Shortly after the truce began, the coalition said it "will abide by the ceasefire", which aims for "distribution of the greatest possible humanitarian and medical assistance" to Yemen's people, especially the besieged city of Taez.
It said it will continue an air and maritime embargo, to prevent weapons shipments to the rebels, and will maintain airborne reconnaissance.
The rebels' military spokesman, General Sharaf Lokman, said his forces will respect the ceasefire as long as "the enemy" also abides by it on land, sea and air.
However, he urged his fighters to be ready to retaliate against "all aggression".
A spokesman for pro-government forces also declared "respect for the truce" but similarly reserved the right of reply to violations.
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