Russian energy supplier RAO Nordic says it will suspend deliveries of electricity to Finland from Saturday, citing problems with payments.
The Finnish grid operator said Russia provided only a small percentage of the country's electricity and that it could be replaced from alternative sources.
Finland shares a 1,300-km (810-mile) border with Russia, and has previously stayed out of Nato to avoid antagonising its eastern neighbour. However, since Russia's invasion of Ukraine there has been a surge in public support for Nato membership.
The Russian state-owned firm said: "This situation is exceptional and happened for the first time in over twenty years of our trading history".
Last month Russia cut supplies of gas to Bulgaria and Poland after they refused to comply with a demand to pay in roubles, a change they said would contravene western sanctions.
Fingrid said it did not expect electricity shortages as a result of the shut off, as only around 10% of Finland's electricity is supplied from Russia.