NBC News cited sources as saying that the FBI agents had visited employees at their residences on both the east and west coasts after work was done.
The report said there was no indication that the FBI's actions were part of the probe being conducted by special prosecutor Robert Mueller into allegations of Russian meddling in the 2016 US presidential elections.
A few days back, a report in the Washington Post claimed that Kaspersky Lab could have become collateral in the power games between the US and Russia, after the Obama administration reportedly discovered that Russia had made plans to influence the 2016 election.
The US government is reviewing whether to continue using Kaspersky's anti-malware software in its offices, with unsubstantiated claims floating around to the effect that Russia is using the software to spy on the US.
US Defence Intelligence Agency director Vincent Stewart was quoted in May as saying, "we are tracking Kaspersky and their software".
NBC News said Kaspersky Lab had been a subject of interest to the US government for a long time, as Eugene reportedly had close ties to some Russian intelligence figures.
It also quoted sources as saying that Kaspersky Lab had paid Michael Flynn, who was briefly the national security adviser in the Trump administration, US$11,250 in 2015 for cyber-security advice. However, this was not something the FBI had pursued.
The report said the FBI agents had informed the employees that they were only gathering information about the company's operations and the reporting structure between the facilities in the US and Moscow.
Kaspersky Lab said in a statement that it "has no ties to any government, and the company has never helped, nor will help, any government in the world with its cyber espionage efforts.
"The company has a 20-year history in the IT security industry of always abiding by the highest ethical business practices, and Kaspersky Lab believes it is completely unacceptable that the company is being unjustly accused without any hard evidence to back up these false allegations.
"Kaspersky Lab is available to assist all concerned government organisations with any ongoing investigations, and the company ardently believes a deeper examination of Kaspersky Lab will confirm that these allegations are unfounded."