Presented are the first measurements of the transverse single-spin asymmetries ($A_N$) for neutral pions and eta mesons in $p$+Au and $p$+Al collisions at $\sqrt{s_{_{NN}}}=200$ GeV in the pseudorapidity range $|\eta|<$0.35 with the PHENIX detector at the Relativistic Heavy Ion Collider. The asymmetries are consistent with zero, similar to those for midrapidity neutral pions and eta mesons produced in $p$+$p$ collisions. These measurements show no evidence of additional effects that could potentially arise from the more complex partonic environment present in proton-nucleus collisions.