This comes amid growing concern that North Korea may be about to launch its fourth missile test.
Pyongyang has been making bellicose threats against South Korea, Japan and US bases in the region.
Japan has deployed defensive anti-missile batteries at three locations in Tokyo, to protect the capital’s 30 million residents.
US-made Patriot anti-missile systems have been deployed at the defense ministry and at two other military bases.
“The government is making utmost efforts to protect our people’s lives and ensure their safety,” Prime Minister Shinzo Abe said.
“As North Korea keeps making provocative comments, Japan, co-operating with relevant countries, will do what we have to do,” he added.
At the end of last week Japan sent two of its most modern warships to the Sea of Japan with orders to shoot down any missiles fired by North Korea towards the Japanese islands.
Intelligence reports also suggest North Korea has moved two intermediate range missiles to its east coast in recent days.
Reports say no-one in Japan thinks Pyongyang is really preparing to attack.
But it may try to fire a missile over the top of Japan in to the Pacific Ocean. If it does Tokyo has made it clear it will shoot the missile down.
This is not the first time that Japan has taken such measures.
A statement attributed to Pyongyang’s Asia-Pacific Peace Committee said on Tuesday: “The situation on the Korean peninsula is heading for a thermo-nuclear war.
“In the event of war, we don’t want foreigners living in South Korea to get hurt.”
The statement urged “all foreign organizations, companies and tourists to work out measures for evacuation”.
Last Friday, Pyongyang warned it would not be able to guarantee the safety of embassy staff in the event of a war.
No foreign embassies immediately announced plans to evacuate, and the UK and Russian embassies have said they have no immediate plans to shut their embassies.
The US, which has also been threatened by North Korea, has said there were no imminent signs of threats to American citizens.
The UK Foreign and Commonwealth advice on travel to South Korea was that there was “no immediate increased risk or danger to those living in or travelling to South Korea” as a result of the North Korean warning last Friday.
Tuesday’s warning to foreigners in South Korea is the latest step in the escalation of tension on the Korean peninsula.
North Korean employees on Tuesday did not report for work at the Kaesong Industrial Complex, suspending one of the few points of co-operation between North and South Korea.
The UN imposed tough sanctions on North Korea last month following its third nuclear test.
Pyongyang has responded to this and to joint military exercises between South Korea and the US with escalating rhetoric. It has threatened to use nuclear weapons and said it would restart a nuclear reactor.
North Korea has also shut down an emergency military hotline between Seoul and Pyongyang.
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