They say the missile, launched off the east coast, flew about 800km (500 miles) and fell into the water. North Korea has not commented on the report.
A US defence spokesperson later said a second missile was launched.
US President Barack Obama earlier imposed new sanctions on Pyongyang, after its recent "illicit" nuclear test and satellite launch.
His executive order freezes North Korean government property in the United States. It bans US exports to - or investment in - North Korea and also greatly expands powers to blacklist anyone, including non-Americans, dealing with North Korea.
The 6 January nuclear test and 7 February satellite launch were violations of existing UN sanctions.
South Korea's Yonhap news agency also cited unnamed sources saying a second missile was detected but it may have disintegrated in mid-air.
They appeared to be medium-range Rodong missiles fired from road-mobile launch vehicles.
With a maximum range of 1,300km, the Rodong would have the capability to reach all of South Korea and parts of Japan.
Lt Col Michelle Baldanza, from the US defence press office said after the latest launch: "We call on North Korea to refrain from actions that further raise tensions in the region."
Amid the heightened tensions, the North sentenced a US student to 15 years hard labour on Wednesday for "severe crimes" against the state.
The US demanded North Korea immediately release Otto Warmbier, 21, who was arrested for trying to steal a propaganda sign from a hotel while on a visit in January.
The US and South Korea are also holding their biggest annual military drills this month, which routinely generate tension.
But this year North Korea threatened to launch a "pre-emptive nuclear strike of justice" against the US and South Korea.
North Korea has fired a ballistic missile into the sea, South Korean and US officials say.