The wreckage was discovered on Baengnyeong island, which lies just south of the maritime border, fuelling suspicions that it might be North Korean.
"Military authorities retrieved the wreckage for analysis," a defence ministry spokesman said.
He declined to speculate on the drone's provenance, but the Yonhap news agency said military and intelligence officials suspected the drone came from North Korea.
Yonhap quoted a military source as saying the drone crashed around 4:00 pm (0700 GMT), less than an hour after North Korea wrapped up a major live fire drill along the border.
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The South responded by firing 300 shells into the sea on the North Korean side of the border and scrambling fighter jets.
North Korea had displayed a set of what looked like very rudimentary drones during a huge military parade held in Pyongyang last July to celebrate the 60th anniversary of the end of the Korean War.
And in March last year, state media reported leader Kim Jong-Un overseeing a military drill using "super-precision drone planes."
Still photographs of the exercise broadcast on state television showed what resembled air force target drones being flown into a mountainside target and exploding.
The Paju drone had a triangular wing with a 1.9 metre span, the agency quoted a government source as saying.
Its gas-powered engine was made in Japan and other parts were Chinese.
According to the government source, it had a camera that had taken aerial shots of the national highway from Paju to Seoul and the presidential Blue House in the capital.