They militant group released footage featuring the dog, apparently called “Colonel”.
They group said the dog was wearing a harness with a Global Positioning System tracking device, a torch and small camera.
US officials said they were investigating the claim.
Looking rather mournful, on a lead being held by a long- haired Taliban fighter, the small reddish-brown dog was paraded for a Taliban cameraman, the BBC reported.
They said the dog was taken during a night raid in Laghman in eastern Afghanistan in December last year.
They also showed off weapons captured in the fighting of a type frequently used by American special forces.
The BBC report said there were local reports a few weeks ago that a senior Taliban commander in the area was seen with a “foreign dog”.
But the video is the first positive sighting of the dog, it said.
Coalition forces have long used sniffer and protection dogs in Afghanistan, mostly German Shepherds, Labradors or Spaniels.