The capital's Metropolitan Police force conducted the explosion after setting up cordons near the high-security site in Nine Elms, just south of the River Thames.
"We can confirm that the loud bang reported in the area a short time ago was a controlled explosion carried out by officers," the force said.
"Enquiries are still ongoing and cordons will remain in place for the time being."
The US embassy said in a post on the same platform that local authorities were investigating "a suspicious package" outside the building.
It added that police had closed a nearby road "out of an abundance of caution".
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