The BBC's Patience Atuhaire in Kampala says that car boots and pedestrians' bags are being searched as they enter the Nakumatt Oasis shopping centre.
Government spokesman Ofwono Opondo told the BBC he was glad that the US had passed on its intelligence.
Somalia's al-Shabab attacked Kampala in 2010, killing more than 70 people.
Two restaurants where patrons were watching the football World Cup on TV were hit by suicide bombers.
Al-Shabab also says it was behind the September attack on the Westgate shopping centre in Nairobi, in which at least 67 people were killed.
Both Uganda and Kenya have sent troops to Somalia to help the UN-backed government fight the militants.
The US embassy in Kampala said it was assessing the reports of a possible attack but said it had no information about when or where it might happen.
Mr Opondo told the BBC's Focus on Africa programme that the security services had already thwarted several terror attacks in Uganda.
"The reason they have not been successful is that security has been able to get good information in good time and neutralise [the attacks] in good time," he said. (BBC)