The group says it is a U.S. dog, but officials told Fox News that the dog is actually British.
According to the BBC, the Taliban released footage of the dog, named Colonel. The group said the dog was wearing a harness with a GPS tracking device, a torch and small camera.
"We can confirm that a military working dog went missing following an ISAF mission in December, 2013," the U.S.-led International Assistance Security Force said in a statement. "It is ISAF policy to defer identification to the appropriate national authorities."
The small reddish-brown dog was paraded around for a cameraman by a long-haired Taliban fighter, the BBC reported.
The fighters also showed off weapons captured during the fighting.
Coalition forces have long used sniffer and protection dogs in Afghanistan, mostly German shepherds, Labradors or spaniels, the report said.