Gold rose to its highest level in nearly two months, while the Swiss franc increased by more than 1% against the USA dollar and saw its biggest one-day gain against the euro in more than two and a half years.
At the moment stock falls have not been too dramatic - the bluechip index is at a higher level than it was a week ago.
The Nasdaq Composite was down 16.88 points, or 0.26 percent, at 6,353.58.
The reclusive state raised the stakes further on Thursday with a detailed plan to send a salvo of missiles towards the U.S. territory of Guam.
The Standard & Poor's 500 index fell 35 points, or 1.4 percent, to 2,438, its biggest drop since mid-May.
The pan-European FTSEurofirst 300 index (.FTEU3) lost 1.11 percent.
"It's fantastic when you consider the headlines just how calm the equity markets are, how they've taken things in their stride", said Ryan Detrick, senior market strategist at LPL Financial in Charlotte, North Carolina.
With Japanese markets closed for a public holiday, Hong Kong led the downward charge in Asia-Pacific as the Hang Seng lost more than two percent.More news: Freighter Aground in River Linking Lakes Superior, Huron
USA stocks closed lower on Tuesday after Trump's comments sparked a late afternoon selling.
Separately Capital Economics' Simona Gambarini overnight said the recent rise in geopolitical risk could lift the price of gold "beyond $US1350 an ounce", which would be the first time it has topped that level since the UK Brexit referendum in mid 2016.
A slight rise in a measure of US consumer prices pointed to benign inflation that could make the Federal Reserve cautious about raising interest rates again this year, which would be favourable to equity investors. They are looking for confirmation that the Fed is sticking with plans for a possible December interest rate hike.
Japan and South Korea vowed a strong reaction if the North were to go through with the plan. Still, he said, "the Washington, D.C., bedlam and North Korea's saber-rattling is muddying the broader landscape".
The increased geopolitical tensions this week, centred on the Korean peninsula and the nearby United States territory of Guam, have caused stock markets around the world to fall back as investors turn cautious.
ENERGY: Benchmark U.S. crude added 28 cents to $49.45 per barrel in electronic trading on the New York Mercantile Exchange.
Ongoing global glut concerns lingered in oil markets despite a bigger-than-expected draw in USA crude inventories, leaving prices volatile.
At 12:28 p.m. ET (1628 GMT), the Dow Jones Industrial Average was down 52.87 points, or 0.24 percent, at 22,032.47, the S&P 500 was down 2.8 points, or 0.11 percent, at 2,472.12.