The final stretch of the $3.8bn (Â£3bn) pipeline is being built under a North Dakota reservoir.
The Standing Rock Sioux and Cheyenne River Sioux tribes have filed a lawsuit against the pipeline, saying it endangers their drinking water.
They also say the pipeline will damage sacred burial sites.
The pipeline, when complete, is expected to transport about 470,000 barrels of crude oil a day from North Dakota to a terminal in Illinois, where it can be shipped to refineries.
The developer, Energy Transfer Partners (ETP) has completed most of the pipeline, and began work on the final section after the army gave it permission to proceed on Wednesday.
The Standing Rock and Cheyenne River tribes asked for a temporary injunction against construction, pending a lawsuit against the pipeline.
They argued that the pipeline would hurt their water supply, and prevent them from practicing religious ceremonies at the lake.
However, developer ETP and the army argued against an emergency injunction, saying there was time for the lawsuit to be heard before oil began to flow through the pipeline.
Construction on the pipeline had stalled for months due to opposition from protesters.
Thousands of predominantly Native American protesters have demonstrated against the pipeline's construction and set up camps along the final stretch.
Nearly 700 people have been arrested since protests first began last year, according to law enforcement officials.
The Obama administration announced in September that it would not allow the project to proceed, but Donald Trump overturned the decision in one of his first acts as US president.

Mylan said it expected to start selling a cheaper generic product "in several weeks" at a list price of $300 (Â£230).
That is about half the list price of the existing product, which is used in emergencies for severe food and insect allergies.
The cost of EpiPens in the US has risen by 500% in less than a decade.
Mylan said the generic version would be identical to the branded EpiPen, which costs $600 for two doses.
Allergy sufferers often have several pens - one to keep at home, as well as others at school or work, or in the car. They also expire after 12 months.
Mylan chief executive Heather Bresch said the company had spent hundreds of millions of dollars improving the product since buying the product from Merck in 2007.
"Our decision to launch a generic alternative to EpiPen is an extraordinary commercial response," she said. "We determined that bypassing the brand system in this case and offering an additional alternative was the best option."
The move is unusual because the branded version is still under patent and other rival treatments have failed to get regulatory clearance. The product generates annual sales of $1bn for Mylan.
Bernstein analyst Ronny Gal said: "We suspect Mylan will continue to receive some heat for its price increases and there will be heightened pressure on FDA [regulator the Food and Drug Administration] to bring competition to the market."
Ms Bresch also blamed the complex US health care system for the price rises and said that Mylan took just $274 of the $600 list price, while insurers, pharmacies and other parties shared the rest.
How much individuals pay for an EpiPen prescription can depend on their insurance coverage.
Politicians and parents have challenged the price hikes, with Democratic presidential candidate Hillary Clinton calling them "outrageous" and unjustified.
The outcry over EpiPen price rises sent Mylan shares falling about 12% last week. The stock was flat at $43.04 in afternoon trading in New York.
Actor Sarah Jessica Parker, who had endorsed EpiPens, said last week she was ending her relationship with Mylan. She had previously spoken about the importance of the treatment to her family because of her son's peanut allergy.
Other drug makers including Valeant, Turing and Pfizer have come under fire in recent months for sharp price increases.
A US judge has rejected a request from two Native American tribes to halt construction on the controversial Dakota Access oil pipeline.
[NEXT_CONCEPT]
The maker of the EpiPen will start selling a generic version in the wake of criticism about steep price increases.