The warnings come after unrest erupted when the military killed cartel leader "El Mencho" in the state of Jalisco.
"Follow the instructions of local authorities and avoid crowds. The situation can change quickly," the Swedish embassy writes on Sweden Abroad.
The warning applies to several places, including Jalisco. There are also reports of unrest in popular destinations such as Tulum and Playa del Carmen in the state of Quintana Roo.
The United States, Canada, Argentina, Germany, France and Denmark are among the other countries that have issued warnings. Several flights to Mexico have also been canceled.
