The alert comes amid heightened fears across Europe of a Paris or Brussels-style terror attack involving Islamic State jihadis who have returned home after training in Iraq and Syria.
Swedish police are investigating a potential terror threat planned in the capital Stockholm, the US embassy said.
Officials warn "terrorist groups continue to plan near-term attacks throughout Europe, targeting sporting events, tourist sites, restaurants, and transportation".
A statement on the embassy's website said: "US citizens should exercise vigilance when in public places or using mass transportation.
"Be aware of immediate surroundings and avoid crowded places.
"Exercise particular caution during religious holidays and at large festivals or events."
From The Express: