The Shen Yun show is touring countries round the world
Swedish officials say China is against shows planned for Stockholm and Linkoping because some of the US-based performers have links to Falun Gong.
The spiritual movement is banned in China and accused by the Beijing government of being a cult.
Authorities in the two cities say they have no intention of stopping the performances booked for March.
The Shen Yun - Chinese Spectacular is performed by a troupe of more than 100 dancers, singers, musicians and orchestra from the New York-based Divine Performing Arts.
Performances are based on ancient heroic legends and fables from the Tang, Song and Qing Dynasties, as well as contemporary tales.
The Associated Press news agency says organisers in Sweden include the local branch of the Falun Gong.
Crossed the line
City officials from Stockholm and Linkoping say they received calls from the Chinese embassy saying the troupe was linked to Falun Gong.
"They stepped way over the line. I think they really owe us an apology and an explanation," Madeleine Sjoestedt, Stockholm Vice-Mayor for Culture and Sports, told the AFP news agency.A Chinese embassy spokesman told AFP that the only aim was to inform the authorities "of what Falun Gong is". The spokesman said any decision about cancellation was left up to the city.