The trilateral drill comes less than two weeks after Pyongyang test-fired a new intercontinental ballistic missile (ICBM) and declared it had achieved nuclear statehood, escalating global alarm over its weapons push.
The two-day exercise -- the sixth since June last year -- kicked off in waters near the Korean peninsula and Japan, Seoul's defence ministry said.
"During the drill, Aegis warships from each country will simulate detecting and tracking down potential ballistic missiles from the North and sharing information," it said in a statement.
Two US ships are taking part, with one each from the two Asian countries.
Both South Korea and Japan have security alliances with the US, although their own relationship is marred by disputes over history and territory.
Washington and Seoul staged their biggest-ever joint air drill last week in a show of force against Pyongyang, which is subject to multiple sets of UN sanctions over its ballistic missile and nuclear weapons programmes.
Many analysts suggest that the rocket is capable of reaching the US mainland but voiced scepticism that Pyongyang has mastered the advanced technology needed to allow the rocket to survive re-entry to the Earth's atmosphere.
Last month's launch was the first test of any kind since September 15, and quashed hopes that the North may have held back in order to open the door to a negotiated solution to the nuclear standoff.
The North's leader Kim Jong-Un has traded threats of war and personal insults with US President Donald Trump, heightening fears of another war on the peninsula once devastated by the 1950-53 Korean War.
The South condemned the launch and on Monday imposed new unilateral sanctions on its neighbour.
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