"A Russian submarine entered the Baltic Sea yesterday via the Great Belt," a Danish strait, the military said in a statement.
"The armed forces' jet fighters and warships met up with the submarine in the Kattegatt (strait between Denmark and Sweden) and are now following it," it said.
The military said it was "a routine operation taking place in close collaboration with our allies", adding that it had a "good overview of our immediate vicinity".
Tensions over the Baltic Sea have heightened since Russia's full-scale invasion of Ukraine in 2022.
Swedish Prime Minister Ulf Kristersson said in January that Sweden was "not at war, but there is not peace either".
The country dropped two centuries of military non-alliance to join NATO in 2024.
Kristersson said the entire Baltic Sea region was subjected to "hybrid attacks", referring to disinformation and a series of incidents involving damaged underwater cables.
"The Russian threat is very likely long-term. As our defence must be," he said.
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