Montenegro said someone threw an explosive device into the U.S. Embassy compound in Podgorica late Wednesday before blowing themselves up.
A government statement said the device was "most probably" a hand grenade, and several journalists who saw the site reported no damage.
U.S. State Department spokeswoman Heather Nauert said the embassy confirmed a small explosion near the compound and was working to confirm the safety of its staff. Nauert said embassy officials were also working with local police to identify the assailant.
Shortly after the incident, the embassy issued a security alert telling people to avoid the area.