The Taliban released video footage featuring the dog, named Colonel, the BBC reported.
The dog was wearing a harness with a GPS tracking device, a flashlight and small camera, militants said in the video.
The small, red-brown dog was held by a long-haired Taliban fighter in the video.
Militants said the dog was taken during a night raid in late December in Laghman.
U.S. officials said they were investigating the claim.
Coalition forces have used sniffer and protection dogs, mainly German shepherds, Labrador retrievers and spaniels.