The Epistle to Yemen is also our main source of knowledge for a more extensive messianic movement that formed around a Moroccan Jew named Moshe el-Darri, who arrived in Andalusia in the late 1130s or early '40s with the tidings that he was the Messiah's herald. El-Darri, too, performed "miracles," such as predicting that on a certain day the heavens would rain blood--and indeed, Maimonides wrote, a "red and grimy" rain fell that day. (Red dust rain, originating in fine particles of airborne soil from the Sahara Desert, is a known meteorological phenomenon in southern Spain.) Many of el-Darri's followers obeyed his instructions to sell all their property and borrow money that would not have to be repaid because the Messiah was arriving on Passover, leaving them homeless and penniless when the holiday came and went. El-Darri himself fled to Palestine and died there.[Hillel Halkin, Yehuda Halevi, Schocken (New York: 2010) p. 97]
The phenomenon is also called rain dust; while it is not always red -- that depends on the color of the soil -- it's quite common. In West Texas, for instance, if you cross a dusty summer with sudden rain storms you'll find it raining mud on occasion. However, it is massively more common in Iberia, for precisely the reason given here: dust from a great big desert across the way gets blown over and rained down. Not all red rain is from dust, however; some is thought to be caused by certain kinds of algae, and it's algae, for instance, that form the phenomenon of watermelon snow (pink to red, with a fruity scent, but probably not good for your body) that some places in the world know.