It is aimed at "practising tracking an object and sharing information on it among the three countries", said a defence official, adding, "It will translate into a measure against ballistic missiles".
According to Seoul's Joint Chiefs of Staff, the two-day drill is taking place in waters between South Korea and Japan.
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 US and South Korea conducted large-scale military drills last week, which the North said have made the outbreak of war "an established fact". The THAAD system has sparked controversy because China opposes it. But the US THAAD missile defense system deployment in South Korea is already a thorn in the side of more peaceful efforts.
Governor Jerry Brown tours Thomas Fire zone in Ventura County
Officials said that by Saturday the Thomas Fire had charred 148,000 acres (59,893 hectares), an area about the size of Chicago. The 421-acre Skirball Fire, which broke out Wednesday in the Bel Air neighborhood of Los Angeles, was 75 percent contained.
South Korea also announced Sunday that it would impose new sanctions on 20 institutions and a dozen individuals in North Korea, barring any financial transactions between those sanctioned and South Koreans.
North Korea regularly threatens to destroy South Korea, Japan and the United States and says its weapons programs are necessary to counter US aggression.
Both South Korea and Japan have security alliances with the United States, although their own relationship is marred by disputes over history and territory.
China and South Korea are both in agreement about North Korea - dialogue, not war.
The US has also pressured China and other nations to cut trade and diplomatic ties with North Korea, as part of global efforts to dry up Pyongyang's illegal cash flows that could fund its weapons programs.