South Korea's military believes the missiles displayed included new types of intercontinental ballistic missiles, Yonhap news agency reported.
Sinpo, where the launch took place, is the site of a North Korean submarine base and where the North has tested the submarine-launched ballistic missile (SLBM) it is developing.
"North Korea attempted to test an unidentified type of missile from Sinpo area in the South Hamkyong Province this morning, but we suspect the launch has failed", South Korea's Office of the Joint Chiefs of Staff said in a statement.
Last year, North Korea carried out two nuclear tests, launched a long-range rocket and fired several shorter range missiles.
US and South Korean military officials confirmed an attempted launch on the nation's eastern coast Saturday morning.
Ahead of the parade, tension was continuing to rise in the Korean Peninsula with a USA aircraft carrier group heading towards the region.
Defence Secretary Sir Michael Fallon has been briefed by his USA equivalent General James Mattis on American options for dealing with North Korea in recent weeks, The Sunday Times said.
The nuclear-armed state is under United Nations sanctions over its weapons programmes.
Journalists are rarely welcomed into North Korea, but a number of outlets such as the BBC were invited to watch the huge spectacle.
Leader Kim Jung-un oversaw the parade which was celebrating the 105th birthday of state founder Kim Il Sung, his grandfather.
Earlier, as the USS aircraft carrier Carl Vinson and its strike group sailed towards the peninsula, North Korea's official KCNA news agency, citing a spokesman for the General Staff of the Korean People's Army, warned of a "merciless" retaliation against any USA provocation.
The attempt comes a day after North Korea held a military parade showing off its latest missiles, amid increased tensions in the region over its nuclear program.
President Trump, who is spending the holiday weekend at his Mar-a-Lago resort in Florida, was briefed on the attempted launch and also spoke by phone with Pence.
Trump, however, has also been engaging with China, seeking its help to solve the North Korean nuclear issue peacefully.
North Korean leader Kim Jong-un - seen supervising the parade - warned earlier this year that his country was preparing to test an ICBM capable of reaching the mainland United States.
A senior North Korean official addressing crowds at the military parade on Saturday vowed that Mr Trump's "reckless provocation" could be met with an "annihilating strike" using nuclear weapons.