The warning applies to all travel within a distance of 20 kilometers from the border to Cambodia, as well as non-essential travel to other parts of the provinces Buriram, Surin, Sisaket and Ubon Ratchathiani, they write in a press release.
Previously, the Ministry of Foreign Affairs has advised against non-essential travel to the provinces Narathiwat, Yala, Pattani and Songkhla.
The warning applies until further notice.
A hundred Swedes may be in the border area, but none have sought consular support, the Ministry of Foreign Affairs announced on Thursday.
Thailand has declared a state of martial law in eight border districts.
The clashes broke out on Thursday night, after five Thai soldiers were injured in a mine explosion.
Fighting has taken place in at least six locations in a disputed border area, according to Thailand's Ministry of Defense. Both sides have shot at each other, as well as fired artillery and rockets. Thailand has also carried out air raids.
Sporadic violent incidents have occurred between the countries over the past 15 years. The relationship has deteriorated significantly since May, when a Cambodian soldier was shot dead at the border.
The UN Security Council will hold a crisis meeting on the border conflict on Friday.
