During the World Cup final four years ago, Somalia's Al-Qaeda linked Shebab insurgents killed at least 76 people after setting off explosions that ripped through two restaurants in the Ugandan capital.
"During the 2010 World Cup, twin bombings in Kampala killed over 70, including a US citizen, at football viewing events," the embassy warned in a statement.
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The warning came as police said it was taking reports "seriously" that "Shebab terrorists driving in four vehicles entered Uganda through our border with Kenya," police spokesman Fred Enanga said.
No specific group was mentioned in the US warning, but the Shebab or their supporters have been blamed for a string of attacks in the east African region.
"The targets for these attacks could include hotels, restaurants, nightclubs, shopping malls, diplomatic missions, transportation hubs, religious institutions, government offices, or public transportation," the US warning added.
Uganda is a key contributor of troops to the African Union force fighting the Shebab in Somalia, and the Islamists have carried out major attacks in retaliation.
As well as almost daily attacks inside Somalia, the Shebab have also carried out attacks against other troop contributing nations, including Djibouti and Kenya, including September's siege of Nairobi's Westgate shopping mall in which at least 67 people were killed.
Burundi and Ethiopia have also warned of the threat of attacks.
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