Agents and local police officers were called to the hamlet of Katonah, New York, where Mr Soros lives, at 3.45pm on Monday after an employee found an apparently explosive package in a post box, Bedford Police Department said.
The employee took the package to a wooded area and called police, who alerted the FBI and the Bureau of Alcohol, Firearms and Explosives.
The FBI’s New York field office said on Twitter that it was “conducting an investigation at and around a residence in Bedford, NY”.
It added: “There is no threat to public safety, and we have no further comment at this time.”
Mr Soros was not thought to be home at the time of the discovery.
Neither local nor federal authorities would say whether the object was capable of exploding. However, bomb squad technicians arrived and detonated it, a police official told The New York Times.
A message emailed to Mr Soros’ foundation was not immediately returned.
Mr Soros, a billionaire who made his fortune in hedge funds, has donated heavily to liberal causes and is vilified on the right.
He is also the subject of many unfounded conspiracy theories and specifically antisemitic abuse.
Most recently, conservative critics have, without evidence, accused him of secretly financing a caravan of Central American migrants to make their way north toward the US and Mexico.
Others have falsely accused him of being a Nazi collaborator during World War II, when he was a child in Hungary.
In his native country, the right-wing government of Viktor Orban has moved to limit the ability of Mr Soros’ foundation to help refugees.
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Activists frequently post the addresses of homes he owns in Westchester County, north of New York City, on social media.
FBI officials did not respond to requests for more information late on Monday.
Additional reporting by agencies