The Saudi-led Arab coalition, which has air supremacy over Yemen, strongly denied any role in the attack, with a spokesman saying local militias may have been responsible.
The US-backed coalition has been targeting the Iranian-allied Houthis in Yemen since March, in the hope of ousting them from areas they have seized, including the capital Sanaa. It is also fighting to restore President Abd-Rabbu Mansour Hadi.
Eyewitnesses said two missiles were fired at tents in the Red Sea village of Al-Wahijah, where a man affiliated to the Houthis was holding his wedding reception.
A medical source at Maqbana hospital, where most of the casualties were taken, said 131 people has been killed, including many women and children.
The UN and human rights groups have expressed alarm at the escalating number of civilian deaths in Yemen. At least 2,355 civilians, out of more than 4,500 people dead, were killed from the end of March to September, according to figures from the UN human rights office.
UN Secretary-General Ban Ki-moon condemned the high death toll at the wedding and warned that any intentional attack on civilians violates international law and must be investigated.
Arab coalition spokesman Brigadier-General Ahmed al-Asseri said there had not been any air operations in the area for three days. He said the coalition would admit if it had made a mistake, but that civilians could not always distinguish between cannon, mortar and Katyusha rocket fire.
UN human rights office spokesman Rupert Colville said it had a team on the ground in Yemen trying to verify what had happened.
“The (Hadi-led) government in exile seemed to have acknowledged it and said it was a mistake … I don’t think we have much doubt that this incident took place and it is a grave incident,” he said.
The US is the main arms supplier to the coalition. In April, it said it was expanding intelligence sharing with Saudi Arabia to provide more details of potential Houthi targets.