The missile exploded shortly after take-off, they said – the second failed launch in the past fortnight.
US President Donald Trump accused North Korea of showing “disrespect” towards China and its president.
The missile was fired from a site in South Pyeongan province, north of Pyongyang, in the early hours of Saturday local time, South Korea said.
It came just hours after the United Nations Security Council discussed North Korea’s missile programme.
Mr Trump tweeted: “North Korea disrespected the wishes of China & its highly respected President when it launched, though unsuccessfully, a missile today. Bad!”
Mr Trump recently hosted Chinese President Xi Jinping and praised him for “trying very hard” on North Korea.
Tensions in the region have increased lately, with both North and South Korea conducting military exercises.
North Korea is believed to be continuing efforts to miniaturise nuclear warheads and fit them on long-range missiles capable of reaching the US.
It is not known what kind of missile was unsuccessfully launched on Saturday, however, one official told Reuters it was probably a medium-range missile known as a KN-17.
The land-based, anti-ship ballistic missile has already had two failures, but its message is that US, South Korean and Japanese ships should beware.
Meanwhile, an American aircraft carrier – the USS Carl Vinson – has reportedly arrived in the region after it was sent to the Korean peninsula as part of Mr Trump’s “armada”.