The first joint US-South Korean military exercises began last month in an operation code-named "Invincible Spirit".
About 8,000 US and South Korean troops, 20 ships and submarines and 200 aircraft took part in the drill, which the US and South Korea have said is aimed at curbing the North's "aggressive" behaviour.
The sinking of the Cheonan frigate in March with the loss of 46 South Korean sailors raised tensions across the Korean peninsula, with a multinational inquiry determining that it was caused by a North Korean torpedo.
The North has vehemently denied it was involved in the sinking and threatened retaliation for this week's military exercises, which it branded preparations for a full-scale "military invasion".
The Korean peninsula remains in a technical state of war because the Korean War ended in a truce, not a peace treaty.