The demonstration has been organized by the Nazi group Nordic Resistance Movement (NRM) in Sweden's second largest city on Saturday afternoon. Several counter demonstrations are also planned.
The US Embassy advised American citizens to avoid the area where the march was scheduled to take place, saying: "Even demonstrations intended to be peaceful can turn confrontational and escalate into violence."
It noted that previous demonstrations involving the NRM had turned violent, and urged Americans to "exercise caution" if they found themselves nearby any "large gatherings, protests, or demonstrations" in the city centre.
Extra police have been sent to the city ahead of the march, including uniformed officers and others in civilian clothing.
The city centre is expected to be particularly busy on Saturday due to several other events taking place, including the annual Book Fair and a football match, and its timing as the first Saturday after pay day.
The march also coincides with the Jewish holiday Yom Kippur – a day of atonement observed by fasting and praying – and the route was initially planned to pass close to a Gothenburg synagogue.
However, earlier this week a local court changed the route, cutting its total length by almost half, citing risks to public order and security. Marchers will no longer be allowed to pass by the synagogue or to gather outside the location of the Book Fair.
The NMR, set up in 1997, promotes an openly racist and anti-Semitic doctrine, and its growing popularity in Sweden has caused concern in neighbouring Norway.
Earlier in the month, about 50 members of extremist group marched through the centre of Gothenburg, an event for which the group did not have a permit. According to media reports, a minor fight broke out between some of the protesters and a counter-demonstrator, but police quickly intervened and did not make any arrests.