The Al Azhar school in Vällingby told newspaper Stockholm Direkt that members of the anti-immigrant vigilante group had put up propaganda stickers in the schoolyard and filmed some of their pupils.
"They started filming children in the schoolyard and then they kicked a football away from some guys. When I saw them they were at the entrance and were putting up their stickers and then I called the police," said vice principal Jane Almquist.
A Soldiers of Odin spokesperson confirmed that two of its members had been there but denied filming the children.
The incident happened on Wednesday afternoon, a day after broadcaster TV4 showed secret footage of the privately-run primary school where boys were seen entering from the front and girls from the back.
The school said it had not intentionally segregated the children by gender.
"We have confronted those in charge of transport. They said that some children had been moving around a lot and they were made to sit at the front, and those were mostly boys. Meanwhile, the girls were calmer and sat at the back," vice principal Roger Lindquist told Dagens Nyheter.
Police said they had checked the identity of the Soldiers of Odin members but said they were not arrested because no crime had been committed, reports Stockholm Direkt. Instead, the school has now called in its own security guards, but said some children had chosen to stay at home on Thursday out of fear.
"We have had a crisis meeting and police have been here to discuss the threat. They think it's incitement of racial hatred but that there is no serious threat. So we'll have to continue to pay for our own guards," Lindquist told Stockholm Direkt.
"There is much fear and insecurity. From the students there's also a lot of frustration and anger against us as school management because we have, as of today, chosen to start integrating gym classes – boys and girls will from now on have gym classes together – and they think we are going against their will and right to pupil influence."
In August last year, Swedish media revealed that teachers at the Al Azhar school had agreed to gender-segregated sports lessons. It argued then that pupils had requested it and that gender-mixed sports classes would cause some parents to stop their children from attending.
The school describes itself as having a "Muslim profile", but is open to students from all backgrounds. Around 80 percent of the staff are non-Muslims, according to Lindquist.
"It is important to point out that the staff is not driven by religion but a passion to work with cultural and integration issues. It is also important that the school is not based on Muslim values but democratic ones," he told the TT news wire on Tuesday.
Sweden's free school system of state-funded but privately run schools was introduced in 1992 and paved the way for religious organizations to operate schools as long as they stuck to the secular Swedish curriculum.
In August 2016 there were 66 religious free schools in Sweden, 11 of which were Muslim, according to the education ministry.