Later, after an air raid siren in the early afternoon jangled nerves in the capital, Ukraine's military spy agency said Russia was trying to sow panic by circulating fake online messages about a massive looming missile and drone attack.
"The enemy, unable to subdue Ukrainians by force, resorts to measures of intimidation and psychological pressure on society. We ask you to be vigilant and steadfast," it said.
A US government source said the embassy closure was "related to ongoing threats of air attacks".
The Italian and Greek embassies said they too had closed their doors while the French embassy remained open but urged its citizens to be cautious.
Ukraine on Tuesday used ATACMS missiles from the United States to attack an arms depot inside Russia, making use of newly granted permission from the outgoing administration of US President Joe Biden on the 1000th day of Russia's full-scale invasion of Ukraine.
Ukrainian forces have used drones for deep strikes against targets inside Russia. (AP PHOTO)
Russia has been signalling to the United States and its allies for weeks that if they give permission to Ukraine to strike deep into Russian territory with foreign missiles then Russia will consider it a major escalation.
"Out of an abundance of caution, the embassy will be closed, and embassy employees are being instructed to shelter in place," the US Department of State Consular Affairs said in a statement on the embassy's website.
"The US embassy recommends US citizens be prepared to immediately shelter in the event an air alert is announced."
Russian foreign intelligence chief Sergei Naryshkin said in an interview published on Wednesday that his country would retaliate against NATO countries that facilitate long-range Ukrainian missile strikes against Russian territory.
In the early afternoon, the Ukrainian air force told people to seek shelter because of a missile threat.
Senior officials told people not to ignore the alert.
That came shortly before Ukraine's top military spy agency GUR issued a warning about a Russian psychological operation it said involved fake messages claiming to have been sent by the agency.
"A message is being spread via messengers and social networks ... about the threat of a 'particularly massive' missile and bomb strike on Ukrainian cities today," GUR said in a statement.
Two Ukrainian military personnel told Reuters they received messages informing them that Russia would launch more than 300 drones and also use warships, warplanes and ground-based systems to fire missiles in a huge salvo.
One soldier said he received one from a friend.
On Sunday, Russia staged a massive missile and drone strike on Ukraine's power grid that killed seven people and renewed fears over the durability of the hobbled energy network.
The GUR spy agency said earlier that a Russian military command post had been "successfully struck" in the town of Gubkin in Russia's Belgorod region, about 168km from the border with Ukraine.
The statement did not specify who carried out the attack, when it took place or the type of weapon used.
Ukraine has also used drones for deep strikes against targets in Russia.
Bloomberg later cited an official as saying Ukraine had fired Storm Shadow cruise missiles, supplied by the United Kingdom, into Russia.
Russian war correspondent accounts on Telegram posted footage they said included the sound of the missiles striking in Kursk region.
At least 14 huge explosions can be heard, most of them preceded by the sharp whistle of what sounds like an incoming missile.
The footage, shot in a residential area, showed black smoke rising in the distance.
The pro-Russian Two Majors Telegram channel said Ukraine had fired up to 12 Storm Shadows into the Kursk region, and carried pictures of pieces of missile with the name Storm Shadow clearly visible.
A spokesperson for UK Prime Minister Keir Starmer said his office would not be commenting on reports or operational matters.
