“Someone, or some people, threw some type of firecracker or banger close to the crowd” gathered in the town square of Tranås in southern Sweden, police spokeswoman Monica Bergström told AFP.
Jimmie Åkesson, the leader of the anti-immigration Sweden Democrats who has been campaigning ahead of the European elections, was speaking at the rally.
Police said they had opened a preliminary investigation into assault, but no arrests had been made several hours after the incident.
There were no reports of serious injuries, but at least one person complained of ear pain following the event.
The attack follows a similar incident on Thursday when a firecracker was thrown at Åkesson's car as he was leaving a rally in the small town of Mariestad, media reported.
A suspect was brought in for questioning and later released, although the person remained suspected of attempted assault and attempted violence against a civil servant.
“Every attack against our elected politicians is an attack on our common democracy. This even makes me incredibly upset,” Sweden's Prime Minister Stefan Löfven told news agency TT on Thursday.