Bomb disposal experts were sent to the embassy to remove the letter and analyze its contents. Streets around the embassy were closed but reopened after police had removed the letter.
Police declined to give details on the content but police spokesman Daniel Granstrom told Swedish tabloid Expressen it contained some kind of "powder."
Asked if the substance was dangerous, he said "it may have been dangerous, but it's not dangerous now."
Embassy spokesman Jeff Andersen said the embassy was evacuated and that officials were investigating "a possible security incident" together with Swedish authorities but declined to give other details.