The two-day military drills near the Black Sea peninsula are a first for the former Soviet republic and it was not immediately clear what sparked them.
They come after Moscow last week arrested an alleged spy for the Ukrainian military in Crimea and accused Kiev of abducting two Russian servicemen from the region.
Kiev says Russia illegally annexed Crimea in March 2014, a month after Ukraine's Russian-backed president was ousted.
It also accuses Moscow of backing a 31-month pro-Russian insurgency in Ukraine's industrial east in a conflict that has claimed nearly 10,000 lives.
"The launches have started. Everything is going according to plan. There has been no response from Russia but the Ukrainian military is ready for anything," Volodymyr Kryzhanovskiy was quoted as saying.
He said the war games included air defence units as well military drones and S-300 ground-to-air missile systems.
Kryzhanovskiy added that none of the missiles would land closer than 30 kilometres (19 miles) from Crimea.
Ukrainian media was full of speculation yesterday that Russia intended to shoot down the Ukrainian missiles once the tests began.
The messages stressed that the "tests supposedly violate the sovereignty of Russia and international law," Betsa was quoted as saying.
Moscow has not confirmed sending warning messages.
Ukraine's national security council chief warned yesterday that intimidation would not work.
"Threats to use weapons against Ukraine are an effort to turn the hybrid war that Russia has been waging against us for the past three years into an active war," Oleksandr Turchynov said.
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