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.
Swim Week Miami Beach 2014 [PHOTOS]