A one-day exercise on Friday was aimed at better coordinating efforts between the countries to "locate and crack down on 'terrorists' in the border regions", the official Xinhua news agency reported.
The drill aimed to help the countries respond to the "three evil forces" of terrorism, separatism and extremism coming from the perceived threat of Muslim separatists in Xinjiang, a Chinese counter-terrorism agency spokesman said.
The separatists were a common threat to the participating countries, he added.
The drill, codenamed "Tianshan-II", was the second to take place in Xinjiang under the Shanghai Cooperation Organization, a six nation group formed in 2001 with a broad agenda ranging from anti-terrorism to economic cooperation.
Hundreds of police and special forces from China and Kazakhstan participated in the similar "Tianshan-I" drill in 2006 in Xinjiang.
The region has been hit in recent years by numerous violent attacks, typically directed at police.
Many in the region's Muslim ethnic Uighur population accuse Beijing of oppression and discrimination in education and employment and also resent a recent influx of migrants from China's majority Han ethnic group.
In July 2009, Xinjiang's capital Urumqi was rocked by vicious violence pitting Uighurs against Han in China's worst ethnic unrest in decades.
Nearly 200 people were killed and 1,700 injured, the government said.
China blames unrest in the region on "terrorists" and "separatists" but has provided no evidence of any organised campaign.