The Pomeranian has a "low-level" infection of the disease, which has been spreading across the world and may soon reach pandemic levels.
The little dog is now under quarantine at the Agriculture, Fisheries and Conservation Department for further testing.
The department has said there is no evidence that pets could transmit the virus to humans.
Pet owners need not be particularly concerned and should not abandon their animals, a spokesperson said.
The dog was initially placed into quarantine after its owner developed the virus.
"Based on past experience with coronaviruses and our current understanding of COVID-19, we do not think common household pets are spreading the disease or making people sick," a World Health Organisation spokesperson told the South China Morning Post.
The World Organisation for Animal Health said the spread of COVID-19 was due to human-to-human transmission.
"To date, there is no evidence that companion animals can spread the disease," they said in a statement.
"Therefore, there is no justification in taking measures against companion animals which may compromise their welfare."
The organisation said pet owners should "always" implement basic hygiene measures.
"This includes hand washing before and after being around or handling animals, their food, or supplies, as well as avoiding kissing, licking or sharing food."
There have been 104 confirmed human cases of coronavirus in Hong Kong, and two deaths.
More than 3000 people worldwide have died from coronavirus, including two in Australia.
The World Health Organisation believes COVID-19 will inevitably reach pandemic levels.
COVID-19 is believed to have first developed in humans from a wet market in the Chinese city of Wuhan which sold live animals for consumption.
While there have been several animals blamed for the disease, it has not yet been determined how the virus formed.
Source: 9News https://www.9news.com.au/world/coronavirus-confirmed-in-hong-kong-pet-dog/225f4b81-a02b-4f87-b1b2-54d7d942f7b3