The U.S. Pacific Command said the missile blew up nearly immediately and that its type was still being assessed.
The North's leader, Kim Jong-un, attended the parade in the capital, Pyongyang, as a series of missiles, multiple launch rocket systems and rockets were on display, amid questions about USA plans for the country and concerns about a possible sixth nuclear test.
But, according to AFP, Choe Ryong-Hae, an aide of Kim Jong Un's, said that North Korea could "beat down enemies with the power of nuclear justice", adding that the North was "prepared to respond to an all-out war with an all-out war".
Last year North Korea, which regularly fires off short-range rockets, launched a long-range missile and carried out two nuclear tests.
OPINION: What's on Kim Jong-un's mind? .
A USA attack on a Syrian airfield this month raised questions about President Donald Trump's plans for reclusive North Korea, which has conducted several missile and nuclear tests in defiance of United Nations and unilateral sanctions. A USA aircraft carrier group is headed to the region.
Worldwide desk - North Korea has warned the USA not to take provocative action in the region, saying it is "ready to hit back with nuclear attacks".
North Korea has reportedly launched a missile on its east coast which has failed.
Against the backdrop of rising tensions with the United States, North Korea showed off new missiles in a military parade Saturday marking the birth of the country's founding leader, Kim Il Sung.
British Parliament Backs May's Plan for June 8 Snap Election
Blair's statement came amid reports that he is preparing to campaign with Liberal Democrats in the build-up to the June 8 vote. In a statement outside Number 10 on Tuesday, the Prime Minister set out her plans to call an election for June 8 this year.
The ultimate goal is to have a full array of nuclear-tipped missiles in response to what Pyongyang says is hostility by Washington and Seoul meant to topple its government.
The North has said it has developed and would launch a missile that can strike the mainland United States, but officials and experts believe such a threat is some time away.
Goose-stepping soldiers and marching bands filled the square, next to the Taedonggang River that flows through Pyongyang, in the hazy spring sunshine, followed by tanks, multiple launch rocket systems and other weapons.
As NPR's Merrit Kennedy reported earlier this week, the regime said it would "hold the US wholly accountable for the catastrophic consequences to be entailed by its outrageous actions".
Trump has also been pressing China to do more to rein in North Korea, and has held out the offer of better trade terms for halting Pyongyang's nuclear program. In February China banned all imports of North Korean coal, which is a lucrative source of income for the country.
President Donald Trump and Chinese President Xi Jinping walk together after their meetings at Mar-a-Lago, April 7, 2017, in Palm Beach, Fla.
Meanwhile, North Korea's Vice Foreign Minister Han Song Ryol accused Trump of fanning tensions between the two countries with his "aggressive" tweets, and he said Trump was "becoming more vicious and more aggressive" than previous presidents. They spoke again over the phone Thursday.
On Friday, China's Foreign Minister Wang Yi warned that "conflict could break out at any moment", adding that if war occurred there could be no victor.
While China opposes the North's nuclear program it is reluctant to take harsh measures that would cause instability at its border and that would increase US power in the region.