Police in Denmark said on Wednesday they were investigating two blasts in the immediate vicinity of Israel's embassy in the northern outskirts of Copenhagen.

There were no injuries reported and it was too early to say how big the blasts had been, a police spokesperson told reporters at the scene.

"It is clear that the Israeli embassy is in the immediate vicinity and that is naturally also an angle that we look at," Deputy Assistant Commissioner Jakob Hansen of the Copenhagen police said.

A large area was cordoned off and pictures in local media showed heavily armed Danish military personnel guarding the embassy.

In neighbouring Sweden, police on Wednesday said a shooting had occurred at the Israeli embassy in Stockholm the day before, adding no-one was hurt and an investigation had been opened.

Police said they were alerted that "a bang" had been heard on a street near the embassy in central Stockholm just before 6pm on Tuesday.

"We've made finds that indicate a shooting at Israel's embassy, but we don't want to disclose exactly what finds have been made since there is an ongoing investigation," a police spokesperson said.

Swedish police later added that information indicated the embassy building had been hit by shots.

The spokesperson also said no-one was injured and an investigation had been opened into an aggravated weapons offence, endangerment of others and unlawful threats.

The incidents in Denmark and Sweden came as tensions in the Middle East remain high, with Iran firing a barrage of missiles at Israeli territory and Israel vowing to make Iran "pay" for the attack.

Since the outbreak of the Israel-Hamas war in October 2023, several incidents apparently targeting Israeli interests in Sweden have been reported.

In February, police found a grenade on the grounds of the Israeli embassy compound, which the ambassador said was an attempted attack.

In mid-May, gunshots were fired outside the Israeli embassy, which prompted the country to boost security measures around Israeli interests and Jewish community institutions.

The Scandinavian country's intelligence agency Sapo said in late May that Iran was recruiting members of Swedish criminal gangs to commit "acts of violence" against Israeli and other interests in Sweden -- a claim Iran denied.

The Nordic country has also reported an increase in anti-Semitic hate crimes since the war in Gaza started.

In early June, police said they had found a "suspected explosive object" outside the offices of Israeli military technology firm Elbit Systems, known for its unmanned aerial systems, in Sweden's second-largest city Gothenburg. (Agencies)