"Over 30 vessels from the Black Sea fleet took to the sea from Sebastopol and Novorossiysk in accordance with the exercise plan," the Russian defence ministry said Saturday morning.
"The aim of the exercise is to defend the coast of the Crimea peninsula, the bases of the forces of the Black Sea fleet as well as the country's economic sector, from possible military threats," the ministry added.
The move comes after the US on Friday gave its starkest warning yet of a possible Russian invasion of Ukraine, saying that it could take place "any day now."
White House National Security Advisor Jake Sullivan told reporters that such an attack would likely begin with air strikes and missile attacks and urged Americans in Ukraine to leave the country "as soon as possible."
A number of EU countries have also urged their nationals to leave Ukraine.
Moscow poured scorn on the US warnings.
"The White House's hysteria is more revealing than ever. The Anglo-Saxons need a war. At all cost. The provocations, disinformation and the threats are their favourite method for resolving their own problems," foreign ministry spokeswoman Maria Zakharova wrote on Telegram.
Russia's ambassador to the US Anatoly Antonov told Newsweek magazine that the US warnings were "alarmist" and repeated that his country was "not going to attack anyone."
Russia has massed tens of thousands of troops along Ukraine's borders in recent months, raising fears that it is planning to invade its former Soviet neighbour, eight years after it seized the Crimea peninsula from Ukraine.
Russia has denied any such plans while making a series of demands of the West, including a ban on Ukraine joining the Western defence alliance NATO.
In the midst of the furore, Russia last month announced a serries of naval exercises in the Atlantic Ocean, the Arctic Ocean, the Pacific Ocean and the Mediterranean Sea as well as in "waters and seas adjacent to Russian territory."
The exercises involve over 140 warships and support vessels, over 60 aircraft, 1,000 pieces of military hardware and over 10,000 troops in total, the defence ministry said Saturday.
Tensions have been running high in the Black Sea in recent years, with Moscow accusing Ukraine's pro-Western government and Western powers of threatening its security in waters off Crimea.
In June last year, Russian forces fired warning shots at a British destroyer that it accused of entering its waters, claims denied by Britain.
As well as the naval exercises, large-scale Russian military drills are underway with the country's authoritarian ally Belarus, which lies just north of Ukraine and which also borders the European Union.