The announcement came a day after Russian President Vladimir Putin warned saboteurs were acting inside Russia.
"Today, the border department of the FSB (security service) of the Bryansk region thwarted an attempt by a Ukrainian saboteur group of 20 people that tried to cross into the Russian Federation near the village of Sluchovsk," regional governor Alexander Bogomaz said on Telegram.
Russia's defence ministry said its forces, together with the FSB, had "prevented an attempt to enter... the territory of the Russian Federation", by more than 15 people.
"The sabotage group was dispersed and, having suffered losses, withdrew to the territory of Ukraine," said the ministry statement.
In a video posted online, the Russian Volunteer Corps, a far-right group of Russian nationalists fighting on Ukraine's side, appeared to claim the incursion. It showed some of its members talking to locals and firing weapons.
AFP could not independently verify the video.
Sluchovsk, a village in Russia on the border with northern Ukraine, is relatively far from active fighting zones.
Earlier on Thursday Bogomaz said Ukrainians had shot at the nearby village of Zapesochye.
"There were no casualties. There is partial damage to around 10 houses and a car," he said.
The alledged attempted incursion came a day after Russia's FSB security service said it had detained the pilot of a Ukrainian light aircraft that crashed into the Bryansk region.
In early March, Russian security services accused Ukrainian combatants of crossing into the Bryansk region and killing two civilians.
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