"The Commission has concerns that Swedish mobile network operators may have engaged in anti-competitive conduct preventing entry into the consumer segment of the Swedish mobile telecommunications market, in breach of EU antitrust rules," the bloc's executive body said in a statement.
Swedish Telia said it answered "questions on coordinated behaviour in the Swedish mobile wholesale market".
Its rival Tele2 and Norwegian company Telenor said the investigation concerned "possible abuse of a collective dominant market position and/or possible anti-competitive practices between mobile network operators in Sweden", without giving details.
Telecoms company 3 (Hi3G group) merely referred to "an investigation in the area of competition law".
The four companies, which did not admit or deny any wrongdoing, said they would cooperate in the Commission's investigation, assisted by the Swedish Competition Authority.
According to the latest data from the Swedish telecoms regulator (PTS), in the first half of 2016 Telia gained 38 percent of revenues in mobile telephony, ahead of Tele2 (23 percent), Telenor (19 percent) and 3 (17 percent).