Exercises involving ground troops and air forces will continue through Friday in the Ningxia Hui Autonomous Region.
The region borders Xinjiang, where China has detained more than a million Uighurs and members of other Muslim minorities in what it calls a campaign against terrorism and extremism.
Xinjiang shares a narrow border with Afghanistan, and Beijing is concerned about the violence that will spread across its border if the Taliban take control of the country following the withdrawal of US troops.
While not part of a formal alliance, Russia and China have aligned their military and foreign policies largely in opposition to those of the United States and its allies.
The official Xinhua news agency said the exercises began on Monday and were chaired by Li Zuocheng, a member of the Central Military Commission of the ruling Communist Party.
The exercise aims to “deepen joint counterterrorism operations between the Chinese and Russian armies and demonstrate the firm determination and strength of the two countries to jointly safeguard international and regional security and stability,” Xinhua said, citing Chinese and Russian officials.
“It reflects the new rise of the comprehensive strategic partnership of coordination between China and Russia for a new era and of strategic mutual trust, pragmatic exchanges and coordination between the two countries,” Xinhua said.