Rebecca Harms, who co-chairs the Greens group in the European Parliament, said she was refused entry on Thursday despite holding a diplomatic passport.
She said she was then sent on a flight back to Brussels after authorities told her they objected to her voting for sanctions against Russia
"We condemn the refusal, at a Moscow airport, to allow MEP Rebecca Harms enter the territory of the Russian Federation, despite her having checked with the Russian authorities before travelling," a spokesman from the EU diplomatic service said.
Harms was on her way to see the trial of Ukrainian air force officer Nadiya Savchenko, Ukraine's only female pilot of a Su-24 bomber who is currently sitting in a Russian jail, and "whose continued detention remains a matter of concern for the EU," the spokesman added.
Russia's "lack of transparency" over its list of people blacklisted from entering the country was "regrettable" and went against the spirit of a visa agreement between Brussels and Moscow, the spokesman said.
At her press conference, Harms said she was aware she was on a "stop list" but had no idea who else was on it, though it is possible that all European parliamentarians who voted for sanctions were blacklisted.
European parliament president Martin Schulz said he would lodge a formal protest with the Russian embassy in Brussels over the treatment of Harms.
"I strongly denounce this grave diplomatic incident which is a worrying setback for relations between the European Parliament and Russia," he said.
"Today, the Russian embassy in Brussels will receive a protest letter calling on the Russian government to withdraw the decision."
The German foreign ministry on Thursday criticized as "unacceptable" the Russian decision to bar entry to Harms.
It came as Russia warned warned Europe it may cut off gas supplies because some countries have been re-exporting supplies to Ukraine to help Kiev through its latest energy war with Moscow.
The blunt threat came as energy chiefs gathered in Berlin for EU-mediated talks aimed at halting a Russian gas supply freeze to Ukraine that could leave parts of the war-scarred nation without heat this winter.