The projectile was launched at 10:30 am (0130 GMT) at a site northeast of Pyongyang towards the Sea of Japan (East Sea), a spokesman for the South's joint chiefs of staff said.
"The projectile flew about 220 kilometres (130 miles), but we have no information yet on its type," he told AFP.
Today's exercise came as cross-border military tensions run high following a series of missile, rocket and artillery launches in July and August.
The North often fires missiles and rockets as a show of force or to express anger at perceived provocations, but the frequency of the recent tests is unusual.
UN resolutions bar North Korea from conducting any launches using ballistic missile technology.
But the North has defended the missile launches as a legitimate exercise in self-defence and a response to US war manoeuvres.
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