Feltman's visit comes less than a week after Pyongyang announced it had successfully test fired a new intercontinental ballistic missile that can reach the USA mainland.
Mr Feltman, who is the United Nations under-secretary-general for political affairs, will discuss "issues of mutual interest and concern" with North Korean officials, United Nations spokesman Stephane Dujarric said.
The UN's political chief will visit North Korea this week for talks with officials, amid heightened tensions over the North's latest ballistic missile test.
Feltman's trip marks the first high-ranking visit to the North by a United Nations official since his predecessor Lynn Pascoe traveled there in February 2010 and former United Nations humanitarian chief Valerie Amos visited the North in October 2011.
The five-day Vigilant Ace drill involves 230 aircraft, including F-22 Raptor stealth jet fighters, and tens of thousands of troops, Seoul's air force said.
The visit by Feltman follows the dispatch last month by China of its highest-level envoy to North Korea in two years.More news: Google's first-ever coding doodle for children is fascinating
Dujarric said Pyongyang issued an invitation for Feltman to visit back in September, during the annual gathering of world leaders at the U.N. General Assembly. In response, U.S. President Donald Trump had threatened more unilateral sanctions, but so far, no resolution from the UN Security Council has been forthcoming.
A Cathay Pacific crew spotted what was "suspected to be the re-entry" of the missile as they flew from San Francisco to Hong Kong, the airline said.
In recent years, Pyongyang has accelerated its drive to bring together nuclear and missile technology capable of threatening the United States, which it accuses of hostility.
Trump announced on November 20 that the United States was returning North Korea to the list of state sponsors of terrorism and promised to intensify a campaign of "maximum pressure" and sanctions as part of a rolling effort to compel Kim's government to negotiate over its nuclear program.
Tokyo's parliament yesterday slammed the North's weapons programme as an "imminent threat".