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"During a combat training exercise, 17 people were swept out to sea," the administration of Kazakhstan's western Mangystau region said on Telegram.
"Twelve perished, and three were rescued. The search for the remaining two servicemen is ongoing," it added.
The accident was caused by "a sudden deterioration in weather conditions and intensifying winds", the administration said.
Kazakh President Kassym-Jomart Tokayev "instructed a government commission to take all necessary measures to establish the circumstances of the incident", his press service said on Telegram.
A criminal investigation has also been opened into the accident, according to a statement from the Kazakh Prosecutor General's office.