The alert was issued at 9:32 am local time (00:32 am GMT) with military units and civilians told to take cover, Korean Central Television said.
A news report by South Korea’s Yonhap news agency suggested that the warning appears to be a part of a military drill, though this has not been confirmed by Pyongyang.
The alert comes amid growing tensions on the Korean Peninsula and ongoing saber-rattling that followed the UN Security Council's imposition of strict sanctions on Pyongyang over its third underground nuclear test in February.
On Monday, the US said that every military resource at its disposal, including its nuclear arsenal, would be available to South Korea in the event of a confrontation with the North.
Earlier in March, Pyongyang threatened all-out nuclear war with the US and South Korea after the two countries began joint military drills on the Korean Peninsula. The North also nullified the 1953 armistice that ended the Korean War, claiming the drills were preparations for an invasion.