State TV said Ghader, or Capable, a missile with a range of 120 miles, was among the weapons used. It said the weapon can destroy warships.
The report said the navy also used another anti-ship missile dubbed Noor, or Light.
The five-day naval drill is Iran's latest show of strength in the face of mounting pressures over its disputed nuclear programme. The West suspects it may be aimed at producing nuclear weapons, a charge Iran denies.
Iran has threatened to close the strait over Western sanctions, though it has not repeated the threat recently.