A North Korean propaganda website has warned of strikes against Southern islands and advised residents to leave.
The Uriminzokkiri website, linked to the regime, mentioned targets including Yeonpyeong island, which was attacked by Northern forces in 2010.
Pyongyang has made a series of threats since its last nuclear test in February prompted the UN to tighten sanctions.
The US said on Friday it would refocus missile defences to its west coast to counter the North's threats.
Defence Secretary Chuck Hagel said 14 more batteries would be placed in Alaska by 2017, adding to 30 already in place along the coast.
On 12 February the North tested a nuclear device, which is believed to be its third such test.
The UN Security Council condemned the move and tightened sanctions on the regime.
Before and after the UN announcement, Pyongyang promised reprisals for the sanctions, including a threat to launch a pre-emptive nuclear strike against the US.
North Korean media has also been vitriolic against the South.
The Uriminzokkiri website stated: "Even an accidental spark by the belligerents in their war games can grow into a fire.
"And the damage for those living along the border and on the five western islands will be great."
The threats came shortly after South Korean Prime Minister Chung Hong-won visited Yeonpyeong.
The US and South Korea also began military drills earlier in the week.
South Korea's western islands are regarded as being particularly vulnerable to attack as they lie 10km (six miles) south of the sea boundary.
In 2010, the North bombarded Yeonpyeong with artillery shells, causing four deaths.
North Korea's foreign policy has for decades been dominated by threats of military strikes, and bartering over its nuclear programme.
Although Pyongyang has given up parts of its nuclear programme in return for aid, it has continued to develop missiles and enrich nuclear material.
The most advanced missiles have the capacity to reach Alaska.
It is not thought to have a missile capable of carrying a nuclear warhead.