The maneuvers - dubbed Inspired Gambit - began at Cherat, a military garrison about 120 kilometers (75 miles) west of the capital, Islamabad, Foreign Ministry spokeswoman Tasnim Aslam said.
Pakistan is a key U.S. ally in its war against terrorism, and Washington has thousands of troops in Afghanistan trying to hunt down remnants of al-Qaida.
While the United States and Pakistan have held exercises in Cherat in the past, Afghanistan is participating in the maneuvers for the first time, top Pakistani army spokesman Maj. Gen. Shaukat Sultan said.
Over the next week and a half, the three militaries will carry out day and night air assaults and other types of maneuvers, Sultan said.
He would not say how many troops from each country are participating.
The U.S. military said earlier that the exercises would help improve coordination in the fight against terrorism.
Pakistan and Afghanistan share a long, porous border that straddles rugged mountains and deserts.
Afghan officials have said that remnants of their country's Taliban militia stage anti-government attacks from Pakistan, a charge that Islamabad denies.
On Tuesday, Pakistani Foreign Minister Khursheed Kasuri renewed an offer to lay down land mines and put a fence along the border with Afghanistan to stop infiltration.
Pakistan has deployed about 80,000 troops to border areas along Afghanistan to track down militants.
A U.S.-led military campaign ousted the Taliban from power in late 2001 for harboring al-Qaida and its leader, Osama bin Laden, the AP reports.
The FSB of Russia has distributed the footage of video surveillance over suspects, who allegedly worked to orchestrate a military coup in Belarus and planned to assassinate its president, Alexander Lukashenko