The aircraft crashed on Baengnyeong island when North Korea fired hundreds of artillery rounds in seas close to a disputed maritime line, triggering a similar show of strength from South Korea.
The South Korean military are trying to verify where the drone came from and what its purpose might have been, and are also looking into any possible link to North Korea's espionage operations.
North Korea fired more than 100 artillery rounds into South Korean waters as part of a drill on Monday, prompting the South to fire back.
The exercise appeared to be more sabre-rattling by Pyongyang, rather than the start of a military standoff.
The drone, which was between 7ft and 10ft long, had a Japanese engine and Chinese parts, as well as a small camera. One report said it was similar to another found in a border city last month.