Participating in the joint exercise are naval units, special combat troops, surveillance planes and anti-submarine units, the Egyptian Defense Ministry said on its website.
It added that the drill would include training in protecting Egypt's and Saudi Arabia's territorial waters and maritime transport in the Red Sea.
The Defense Ministry noted that the exercise was part of a series of other exercises with Saudi Arabia.
"The exercise aims to boost strategic partnership relations between the two countries and also military cooperation between them," the ministry said.
Egyptian army spokesman, Mohamed Samir, meanwhile, said on his Facebook page that the drill – called Morgan 15 – had kicked off on Monday.
He added that the exercise would last for a number of days in the Red Sea near Saudi Arabia.