The drill began shortly before midday (0830 IST) using land artillery units based at the eastern tip of the demilitarised zone that bisects the Korean peninsula, the South's Joint Chiefs of Staff (JCS) said.
"Dozens of shells were fired into North Korean territorial waters," a JCS spokesman said.
The drill came with South Korean border troops already on heightened alert after a series of short-range ballistic missile tests by the North in recent weeks, including the firing of two Scud missiles into the Sea of Japan (East Sea) yesterday.
North Korea often conducts tests and drills as a show of displeasure, and yesterday's missiles were fired after Pyongyang denounced an upcoming South Korean-US naval exercise.
The annual drill, from July 16-21, involves the US aircraft carrier George Washington, which arrived in the southern port of Busan on Friday.
Previous tests had preceded Chinese President Xi Jinping's state visit to Seoul, and were seen by some analysts as a show of pique at his decision to make Seoul rather than Pyongyang his first stop on the peninsula.
The South dismissed the offer as "nonsensical" in the light of the North's nuclear weapons programme and reiterated that the annual joint military drills with the US are non-negotiable.
The de-facto maritime boundary between the two Koreas -- the Northern Limit Line -- is not recognised by Pyongyang, which argues it was unilaterally drawn by US-led United Nations forces after the 1950-53 Korean War.
Both sides complain of frequent incursions by the other and there were limited naval clashes in the Yellow Sea section of the boundary in 1999, 2002 and 2009.
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