The joint manoeuvres in the strategic waterway between the Gulf and the Sea of Oman come after a series of incidents between Iranian vessels and US warships in the area in recent months.
The Italian frigate Euro sailed to the strait for the manoeuvres with Iranian ships Alvand and Alborz after making the port call in Bandar Abbas on Saturday, Admiral Hossein Azad told the official IRNA news agency.
An Iranian and an Italian helicopter also took part, he said.
Iran's ISNA news agency quoted Italian ambassador Mauro Conciatori as describing the port call as “a positive sign in mutual relations that can increase the bond between the two countries.”
Italy was Iran's largest trading partner before the European Union joined the United States in imposing sanctions – now lifted – over Tehran's nuclear programme.
It has been keen to restore that position and in April Prime Minister Matteo Renzi became the highest-ranking European leader to visit Iran since its nuclear deal with world powers in July last year.
Rome's policy contrasts strongly with that of Washington, which has accused Iran of repeated dangerous encounters with the US Navy in and around the Strait of Hormuz in recent months.
On September 10th, two US maritime patrol aircraft were flying separate missions in international airspace over the waterway when Iranian air defence batteries threatened to fire on them if they did not change course, the Pentagon said.
It followed at least five incidents over the previous month, that prompted US criticism of the Iranian military for its behaviour in the Gulf. Tehran denied its vessels had been at fault.