Mr Feltman, the Undersecretary-General for Political Affairs, is scheduled to meet Foreign Minister Ri Yong Ho, Vice Minister Pak Myong Guk, diplomats and UN agency staff.
UN spokesman Stephane Dujarric said Pyongyang invited Mr Feltman to visit during the September UN general assembly.
But the former US State Department figure is not officially representing the US government.
On the eve of his arrival, hundreds of US and South Korean air force planes began joint military drills in the south, a week after Pyongyang tested a ballistic missile possibly capable of hitting Washington.
North Korean media described the joint air exercises yesterday as “moths flying toward fire only to perish in it.”
China and Russia are advocating a simultaneous freeze in war games and missile tests and a return to six-nation talks.