The school – which is one of just three in Sweden that accepts boarders – said the rape claims were "not positive" and noted that it had written to parents of pupils to alert them.
Speaking to Swedish newspaper Metro, the school's manager Johan Harryson said it would be "a terrible thing" if the allegations turned out to be true, but said that he would await the outcome of the police investigation before speculating further.
Värmland police officer Cecilia Aronsson, who is leading the investigation, confirmed to the newspaper that it was looking into "a crime committed at Lundsberg", but would not give further details about the claims.
Lundsberg was recently at the centre of a so-called 'hazing' scandal, where pupils were accused of using a hot iron to scald a newly enrolled student as part of an initiation ceremony.
In 2012, students also told of being forced into oral sex and one pupil in 2011 reported having their nipples burned with an electric fly swatter.
The school could not be reached by The Local for comment on Wednesday.
One of the most elite educational establishments in Sweden, Lundsberg was set up in 1896 and is home to around 200 students.
Parents currently pay fees which go towards teaching and accommodation costs, although the model is set to change in 2016, following a government review.
In future, the school will only be able to charge boarding fees.