The Defence Force has confirmed an Air Force aircraft is in Guam as part of a military exercise, but will not comment on the North Korean threat against the country.

Photo: Twitter / @NZAirForce

The Defence Force initially declined to comment in detail on the annual exercise held in the Pacific on the small US territory, but has confirmed the plane, part of the 5 Squadron, is taking part with US and Japanese forces.

The exercise, GUAMEX, started on 31 July and includes about 40 operational anti-submarine warfare scenarios off the coast of Guam.

A spokesperson said the exercise was continuing.

The news comes after the state-run North Korean news agency reported yesterday that Pyongyang was "carefully examining" a missile strike on the US territory.

That threat was just hours after US President Donald Trump warned the regime that any threat to the United States would be met with "fire and fury".

Defence Force staff refused to say whether the Air Force was working with or assisting the US in any capacity. No-one was available for interview, the spokesman said.

The US navy last month said the multinational exercise would run until 12 August, this Saturday.

"GUAMEX will include multiple aircraft and subsurface assets from the Japan Maritime Self-Defense Force (JMSDF), the Royal New Zealand Air Force (RNZAF) and the US, who will collaborate to strengthen personal relationships between these countries," Task Force 72 Lt. Christi Morrissey said in a release last month.

"GUAMEX provides an exceptional opportunity for our regional allies, friends, and partners to test our interoperability skills and hone our ASW techniques in a series of dynamic events. We don't often get the chance to train with one another."

Guam Homeland Security has called on residents to stay calm.