Pyongyang has not reacted to the news.
The country has made a number of missile-related tests this year, despite being banned by the UN from any use of ballistic or nuclear technology.
It comes amid concerns that the North may soon launch another long-range rocket or conduct a nuclear test.
The test took place near the north-western city of Kusong at 03:33 GMT on Saturday, the Pentagon said in a statement.
US Navy Commander Gary Ross said the missile launch "did not pose a threat to North America".
South Korea confirmed the failed launch, and said in a statement it strongly condemned the actions of its neighbour.
The Yonhap news agency reported the missile was believed to have exploded soon after its launch, without citing a source for the information.
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