The snap drill in the Rostov region was ordered by President Vladimir Putin.
The southern military district includes Crimea - the peninsula annexed by Russian forces in 2014 - and areas on the border with eastern Ukraine.
Pro-Russian rebels also held military drills in eastern Ukraine last week.
The self-styled "Donetsk People's Republic" tested heavy artillery and rocket systems in the Torez area, near the rebel-held city of Donetsk.
Nato, Western leaders and the Ukrainian government accuse Russia of sending heavy armour and regular troops to the rebels. Moscow denies that, but admits that Russian "volunteers" are helping the rebels.
A shaky ceasefire is in place, but both sides - the rebels and Ukrainian government forces - are still far off fulfilling the Minsk peace deal they signed up to.
The Russian military did not indicate any connection between the current exercises in southern Russia and the Ukraine situation.
The exercises include the rapid deployment of troops from 3,000km (1,860 miles) away and the preparation of emergency runways for the air force.
The Organization for Security and Co-operation in Europe (OSCE) said its monitors in the eastern Ukraine conflict zone had seen continuing use of "proscribed weapons, heavy artillery", despite the Minsk agreement.
In a statement to the BBC, the OSCE said the tension levels "still ebb and flow". In late January there were more than 1,000 ceasefire violations "in different places along the contact line", but in early February the conflict zone "remained relatively calm", the OSCE said.
The main hotspots remain: the area north of Horlivka, especially Zaitseve village (about 45km north of Donetsk), also around the Donetsk airport, Debaltseve and the triangle Kominternove-Pavlopil-Oktiabr south of Donetsk.
Russia's exercises come as its air force contingent in Syria carries out heavy bombing to push anti-government rebels away from the city of Aleppo.
Some of Russia's latest military equipment is involved in the Syria mission, including four Sukhoi Su-35S fighters - a type that only entered service with the Russian military last year.

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The 47-year-old is being paid £250,000 by a betting firm, which denies the campaign is a publicity stunt.
Ginola said: "We all know that the Fifa system isn't working."
To be eligible for any election, Ginola would need the support of five football associations and must show active involvement in football for two of the past five years.
In a video message on his campaign website, the former Newcastle and Tottenham midfielder, is inviting the public and other organisations to join 'Team Ginola'.
He added: "By joining Team Ginola you are saying 'yes' to a Fifa built on democracy, transparency and equality. You are saying 'yes' to a Fifa which cares about one thing - football."
Ginola's bid has the support of pressure group ChangeFifa, which has long campaigned for new leadership at the top of the organisation.
However, when asked by journalists in London on Friday, Ginola was unable to name a single member of the Fifa executive committee and said he had not yet received endorsement for his campaign from any national association.
Meanwhile, Paddy Power communications director Rory Scott denied his betting company's support of Ginola was simply a publicity stunt.
"It is about providing David Ginola with a credible platform to launch his bid from," he told BBC Sport.
"This isn't a two-week campaign. We are in this for the long haul - we believe we will be on the ballot.
"Once we get on the ballot paper, anything is possible."
The Team Ginola campaign is attempting to raise £2.3m to fund the challenge through contributions from the sponsor and supporters.
Nominations for the presidency of world football's governing body close on 29 January.
Fifa vice-president Prince Ali Bin Al Hussein and former diplomat Jerome Champagne, who joined Fifa in 1999, are the other candidates to announce they will stand.
Blatter, 78, has been Fifa president since 1998 and is seeking a fifth term in office.
Russia is holding combat readiness exercises involving 8,500 troops, with dozens of ships and aircraft, in a southern region near areas of eastern Ukraine held by pro-Russian rebels.
[NEXT_CONCEPT]
Former France international David Ginola is to stand against Sepp Blatter for the Fifa presidency.