The snap drill in the Rostov region was ordered by President Vladimir Putin.
The southern military district includes Crimea - the peninsula annexed by Russian forces in 2014 - and areas on the border with eastern Ukraine.
Pro-Russian rebels also held military drills in eastern Ukraine last week.
The self-styled "Donetsk People's Republic" tested heavy artillery and rocket systems in the Torez area, near the rebel-held city of Donetsk.
Nato, Western leaders and the Ukrainian government accuse Russia of sending heavy armour and regular troops to the rebels. Moscow denies that, but admits that Russian "volunteers" are helping the rebels.
A shaky ceasefire is in place, but both sides - the rebels and Ukrainian government forces - are still far off fulfilling the Minsk peace deal they signed up to.
The Russian military did not indicate any connection between the current exercises in southern Russia and the Ukraine situation.
The exercises include the rapid deployment of troops from 3,000km (1,860 miles) away and the preparation of emergency runways for the air force.
The Organization for Security and Co-operation in Europe (OSCE) said its monitors in the eastern Ukraine conflict zone had seen continuing use of "proscribed weapons, heavy artillery", despite the Minsk agreement.
In a statement to the BBC, the OSCE said the tension levels "still ebb and flow". In late January there were more than 1,000 ceasefire violations "in different places along the contact line", but in early February the conflict zone "remained relatively calm", the OSCE said.
The main hotspots remain: the area north of Horlivka, especially Zaitseve village (about 45km north of Donetsk), also around the Donetsk airport, Debaltseve and the triangle Kominternove-Pavlopil-Oktiabr south of Donetsk.
Russia's exercises come as its air force contingent in Syria carries out heavy bombing to push anti-government rebels away from the city of Aleppo.
Some of Russia's latest military equipment is involved in the Syria mission, including four Sukhoi Su-35S fighters - a type that only entered service with the Russian military last year.
Russia is holding combat readiness exercises involving 8,500 troops, with dozens of ships and aircraft, in a southern region near areas of eastern Ukraine held by pro-Russian rebels.