The group threw fireworks at the 150 youth gathered in the Mynttorget Square in the Stockholm’s Old Town at around 20:00, lightly injuring three protesters.
Stockholm Police said they had not arrested any suspects.
“The investigation has only just begun and we will see over the coming days where we get to,” Lars Byström, a press spokesman for Stockholm Police, told the TT news wire.
“We have removed a number of people. We are taking what happened yesterday extremely seriously.”
The police said that in their judgement, there was "no concrete threat" against the sit-in.
But Fatemeh Khavari from the group Ung i Sverige (Young in Sweden), which is organising the sit-in, called for more protection.
"The police say we shouldn't be worried, but I feel extremely unsafe. There is a big risk in sitting here when these sorts of terrible people attack," she said. "Of course there are are going to be more attacks. There are going to more and more of us sitting here."
The Nordisk Ungdom (Nordic Youth), group said on their website on Wednesday morning they had been behind the attack. This seems to confirm eyewitness reports that the attackers had worn the group's clothing an insignia.
Police would not confirm Nordisk Ungdom's involvement, saying only that around 15 to 16 people had been involved.
Nordisk Ungdom is a fringe far-right group founded in 2009 which is thought to have less than 20 active members.
Its members on Saturday attempted to block the Stockholm Pride festival, before police removed them from the city centre.
Ung i Sverige have been holding the sit-in since Sunday morning, protesting against the deporting of people to Afghanistan. They say the country is more dangerous than the Swedish authorities admit.
The group has permission to continue its protest for 30 days.