Sanctions against North Korea should be the "first resort," with the military option on the table, former ambassador Nancy Soderberg told CNBC on Tuesday.

In fact, Nikki Haley, U.S. ambassador to the United Nations, has scored "one of the most impressive diplomatic victories" in the U.N. Security Council, said Soderberg, who served as ambassador to the U.N. and deputy national security advisor under President Bill Clinton.

In August, the council unanimously imposed new sanctions on Pyongyang that could slash its $3 billion annual export revenue by a third.

"Let the sanctions bite, see if you can really make the North Koreans feel the squeeze and start trying to deny the funds that enable him to build these weapons," Soderberg said, referring to North Korean leader Kim Jong Un.

"We want to step back from the brink."