'Exercise caution if unexpectedly in the vicinity of large gatherings that may become violent, ' it said.
Prime Minister Theresa May invited Trump for a state visit when she was the first foreign leader to visit him after his inauguration in January 2017, a decision many British lawmakers said was wrong and sparked protests across Britain.
As well as in London, protests are expected to take place in Bristol, Newcastle, Leeds, Cambridge and Cardiff after Trump arrives on Thursday.
He said people would be able to spy the Trump baby "peeping over" parliament, which could make it visible on the South Bank of the Thames, over Westminster Bridge, (closest Tube Stations: Lambeth North, Waterloo).
Sadiq Khan supported the decision taken by the Greater London Authority to allow the 20ft inflatable, dubbed "Trump Baby" to rise above Parliament Square Gardens for two hours on Friday morning while the United States president is in London.More news: Royal Family steps out for Prince Louis' christening
"Numerous demonstrations are being planned for July 12 to 14, 2018, surrounding the visit of the President of the United States to the United Kingdom", the USA embassy said in the alert on its website.
This could well affect a number of senior level media executives as many of the "numerous" demonstrations are set to start in or around Soho in Central London, near the headquarters of the likes of NBC Universal, Apple and 21st Century Fox as well as various TV companies and film firms.
US President Donald Trump will arrive in the United Kingdom on Thursday to start a four-day visit that will see him meet the Queen and head to Scotland.
Even a "Trump baby" blimp will fly with approval from London's mayor.
The sad news for Trump Baby is that Trump himself apparently won't be spending much time in London itself and is unlikely to see his inflated, infantile likeness in person. Then, Trump will head to Scotland for a few days. "That's certainly up to the people, not up to me", said Trump.