The North's artillery batteries on land fired into waters near the border shortly after 9am (1100 AEDT), a spokesman for the Joint Chiefs of Staff said.
"Our military immediately fired back in response," a Seoul presidential official said.
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The incident came a day after the North declared a "no sail zone" around the tense border, which was the scene of deadly naval clashes in 1999 and 2002.
Another clash in November left a North Korean patrol boat in flames.
The official said the North's artillery rounds landed north of the sea border, while Seoul's forces fired at the rounds while they were in the air. No one was injured and no damage was caused.
The official refused to say what types of weapon were used or how many rounds were exchanged.
"Our military fired at the shells in the air," he said.
"Our field manual states that we are supposed to target any incoming flying objects."
Yonhap news agency said the North's shells landed near the South Korean-controlled island of Baengnyeong in the Yellow Sea.
