This has led to diplomatic protests from Sweden and Lithuania.
"We have been in contact with Russia and highlighted that it is unacceptable what happened," says Pezhman Fivrin, press secretary for foreign minister Margot Wallström, to newspaper Dagens Nyheter.
"We have raised the issue in talks with the Russians and said that we are concerned. The powerline is built in accordance with international law," says Pezhman Fivirin to DN.
Lithuania said on Friday that a Russian navy vessel entered its economic zone April 30 and illegally ordered a course change for a Swedish-owned ship laying the 400 kilometer (250 mile) power cable, according to news agency AP.
"For the time being, the cable isn't covered with sand, and we have a special ship patrolling at the site to warn other vessels not to damage it with nets or anchors," Foreign Minister Linas Linkevicius told Lithuania's national radio.
"This ship has repeatedly been chased away by Russian military vessels".
The ministry said it was the fourth such incident in the past two months. Each has prompted a protest from Lithuania.
Sweden will take up the case with Russia again on Monday.
The 400 kilometere long power cable runs from the Lithuanian port city of Klaipeda to Nybro, in south east Sweden, and is planned for launch in December.