US officials declined to offer details on the expected new sanctions beyond Pence's comments, citing concerns that any additional information could be used by those trying to skirt the new measures.
North Korea has no intention to meet U.S. officials during the Winter Olympics in the South, Pyongyang's state media has said, but did not rule it out.
The parade came on the same day the North announced it has no intention of meeting with officials from the U.S. during the games at PyongChang in South Korea, which open on Friday just 50 miles from the heavily armed border separating the two Koreas.
Although the U.S. had not requested talks with North Korea, Mr Pence left open the possibility of some contact.
Analysts say that with the dual approach, the North is looking to normalise its status as a "de facto nuclear state", and could be trying to weaken sanctions against it or drive a wedge between the South and its ally the United States.
Pence will head the US government delegation visiting the Olympics' opening ceremony at Pyeongchang, South Korea.
We got close to the North inside of negotiation huts - where a flag on a table was placed on the exact border between North and South Korea.
Pence will meet Friday morning with North Korean defectors as he pays respects at the Cheonan Memorial in Seoul, which honors 46 South Korean sailors killed in a 2010 boat sinking attributed to the North.
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"We have never begged for dialogue with the United States and will be the same in the future", Cho Yong-sam, a director of the North's Foreign Ministry, was quoted as saying by the state-run Korean Central News Agency on Thursday.
The 28-year-old sister of the North Korean leader will be the first member of the Kim family to cross the border into the South. Kim Yo Jong is a propaganda official blacklisted last year by the U.S. Treasury Department over alleged human rights abuses and censorship.
Before leaving Japan for South Korea, Pence said the United States would not be duped by any false overture.
"We are not going to use such a sports festival as the Winter Olympics as a political lever", the official reportedly said.
Pence's trip has raised cautious expectations about possible U.S.
North Korea is under multiple sets of United Nations Security Council sanctions over its banned nuclear weapons and ballistic missile programmes, which have seen it develop rockets capable of reaching the U.S. mainland.
"Explicitly speaking, we have no intention to meet with the USA side during the stay in South Korea". North Korea held a parade highlighted by intercontinental ballistic missiles one day before South Korea hosts the opening ceremony of the Winter Olympics. "We will have to wait and see exactly how that unfolds", he said.