South Korean soldiers' height, dark glasses and stance are meant to intimidate North Korea.
But the South announced on Thursday its president would meet the North's Olympics delegation on Saturday. Other uniforms include a smart red blazer with gold epaulettes.
Before departing for Korea, Pence announced that the US would unveil in coming days "the toughest and most aggressive round of economic sanctions on North Korea ever".
The parade came on the same day the North announced it has no intention of meeting with officials from the United States during the games at PyongChang in South Korea, which open on Friday just 50 miles from the heavily armed border separating the two Koreas.
Senior Pyongyang Foreign Ministry official Cho Yong Sam, however, said the North had no intention of meeting U.S. officials during the trip.
Pence avoided public criticism of Moon, congratulating South Korea on hosting the games and pledging continued support in addressing the North's nuclear threat.
North Korea already is facing unprecedented sanctions after three U.N. Security Council restrictions in the past year that have slashed the pariah nation's export revenue and capped fuel imports. "Our delegation's visit to South Korea is only to take part in the Olympics and hail its successful holding", Jo said.
The nuclear-armed North is on an Olympics-linked charm offensive - sending a troupe of performers, hundreds of female cheerleaders, the ceremonial head of state and even Kim's sister to South Korea.More news: Google considering a game streaming service, console hardware
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Protesters say North Korea, which only confirmed its participation last month, has been allowed to hijack the Pyeongchang Games.
The North Korean and US delegations are both expected to attend a reception hosted by Moon ahead of the opening ceremony for the Games, but North Korea's foreign ministry has said there will be no meeting with Pence.
"We haven't requested a meeting with North Korea, but if I have any contact with them - in any context - over the next two days, my message will be the same as it was here today: North Korea needs to once and for all abandon its nuclear and ballistic missile ambitions", Pence said.
Pence has said Washington would soon unveil "the toughest and most aggressive round of economic sanctions on North Korea ever" while South Korea wants to use the Olympics to re-engage with the North.
"There may be a possibility for any kind of an encounter with North Koreans".
It will be the first time North Korea has attended an Olympics in the South, after they boycotted the 1988 Summer Games in Seoul.
The North's state media also showed what appeared to be intercontinental ballistic missiles on launchers as thousands of North Koreans filled Kim Il Sung Square, named after Kim Jong Un's grandfather.
"I have the honor to inform you that following due consideration, the committee has chose to approve the requested exemption" from February 9-11 in accordance with the latest sanctions resolution adopted unanimously in December which allows for case-by-case exemptions, the letter says.