Demonstrators tore down the Greek flag from the building in Holland Park and set it on fire, according to Sky News.
The action follows three days of riots in Greece sparked by the killing by police of a 15-year-old boy.
Sky`s Leah Borromeo, who is at the embassy, said the group was there "to show solidarity with the dead teenager."
"This anarchist group has adopted him as a martyr, and has raised an anarchy flag over the embassy," she said.
The protesters, who had earlier marched from Hyde Park, were chanting, singing and jeering, while police had set up two cordons around the building, she said.
Some were wearing masks to hide their faces. And some traded blows with police officers as scuffles broke out.
In Greece, riots flared in Athens, Thessaloniki and other cities after the shooting of Alexandros Andreas Grigoropoulos in Exarchia.
