Kim Jong Un kicked off the parade commemorating the 105th anniversary of his late grandfather's birthday and rolled out a military arsenal that also included submarine-launched ballistic missiles (SLBM), which also made their debut on Saturday.
South Korea said the combined show of force "threatened the whole world".
Trump has dispatched the aircraft carrier USS Carl Vinson and an accompanying battle group to the Korean peninsula.
"Our toughest counteraction against the US and its vassal forces will be taken in such a merciless manner as not to allow the aggressors to survive", the official said, according to North Korea's state news agency.
North Korea's goal is a long-range nuclear missile that can strike the continental United States.
British Foreign Secretary Boris Johnson on Saturday (Apr 15) urged North Korea to abide by United Nations resolutions and stop its pursuit of nuclear weapons, as the reclusive state brandished its military might.
A US military official, who requested anonymity to discuss planning, said Washington has no intention of using military force against Pyongyang in response to either a nuclear test or a missile launch.
The U.S. Pacific Command said the missile "blew up nearly immediately", adding the type of missile was being analysed. "It can be official or unofficial, through one channel or dual channels, bilateral or multilateral", he said.
The timing of the test, coinciding with Pence's trip and a day after the military parade, would suggest deliberate defiance. His visit comes just after a failed missile launch by the North.
While the two missile canisters appeared to accommodate missiles larger than any the country has publicly displayed, they were empty but insinuated North Korea's intentions to build larger ICBMs.
That missile flew about 60 km (40 miles) but what US officials said appeared to be a liquid-fuelled, extended-range Scud missile only travelled a fraction of its range before spinning out of control.More news: 'Fast and the Furious' on road to record global debut
China, North Korea's sole major ally and neighbour, which nevertheless opposes its weapons programme, has called for talks to defuse the crisis. North Korea had previously launched the ballistic missile into the Sea of Japan during the summit between President Donald Trump and Japan Prime Minister Shinzo Abe in February.
The event also paraded what appeared to be a new intercontinental ballistic missile (ICBM).
The North also a year ago launched a long-range rocket that put a satellite into orbit, which Washington, Seoul and others saw as a banned test of missile technology.
North Korean leader Kim Jong-un, Kim Il Sung's grandson, looked relaxed in a dark suit and laughing with aides as he oversaw the huge parade on the "Day of the Sun" at Pyongyang's main Kim Il Sung Square.
The White House has said Trump has put the North "on notice".
Mr Choe declared that the North was a "powerful nuclear-armed state in the Orient and Asia's leader in rocketry".
The comments come after the United States dropped a MOAB (Massive Ordnance Air Blast) bomb on an ISIS tunnel in Nangahar, Afghanistan, sparking a response from North Korea.
"They have an indigenous tank system now, so they have more launchers, and they have solid fuel, which means they can launch a lot more of these things in quick succession without having to refuel", she said.
Air China and North Korea's Air Koryo are the only two airlines serving that route, with the latter operating on Mondays, Wednesdays and Fridays.
Company worker Rim Chung Ryol, 30, said he had not heard of the missile test.
So-called cold launches would also allow the missiles to be fired from silos.