The North's official Korean Central News Agency carried a brief report on the arrival of Donald Gregg -- South Korea ambassador from 1989-1993 -- and other members of the Pacific Century Institute, without specifying their mission in the communist country.
Gregg, who heads the US civic group, served as the US envoy to South Korea after more than three decades of service in the CIA.
It was unclear whether his trip was aimed at helping to facilitate the release of Kenneth Bae, who was arrested in late 2012 and later sentenced to 15 years' hard labour on charges of seeking to topple the North Korean government.
King had hoped to secure the release of Bae, a tour operator who was described by a North Korean court as a militant Christian evangelist.
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It is the second time King has been rebuffed.
North Korea previously scrapped an invite at the last minute for him to discuss Bae's case at the end of August.
Bae, 45, began serving his sentence in May 2013 and was admitted to hospital in August with kidney and liver problems.
The rescinding of King's invitation came ahead of annual South Korea-US military drills which Pyongyang has urged Seoul to cancel.