Nuri al-Maliki told a press conference in Baghdad on Wednesday that he would demand clarification from the US on the raid, distancing himself from it as he has done in many previous operations in Shia areas.
"This is an issue to be revised with the multinational forces so that it would not occur again," he said. "There should be co-ordination in any military operation."
However, a US military statement said that Wednesday's raid had taken place with the permission of the Iraqi government.
"Special Iraqi army forces, supported by coalition advisers, conducted a raid authorised by the government of Iraq in Sadr City," the military said in a statement.
Sadr City is a bastion of the Mahdi Army, a Shia militia loyal to Muqtada al-Sadr, a prominent cleric.
The disagreement came a day after Zalmay Khalilzad, the US ambassador to Iraq, called on Iraqi leaders to act to rein in militia groups.
Iraqi special forces, backed by US advisers and helicopter gunships, launched the operation to "capture a top illegal armed group commander" in Sadr City, the US military said.
The raiding party came under fire and called in an air strike to protect itself, a statement from the US military said.
Witnesses said the gun battle lasted more than two hours, and an Iraqi interior ministry official said that four civilians had been killed.
Al-Maliki had earlier said his government would "strike hard" against militias that challenge the authority of the state.
The Iraqi prime minister appealed to neighbouring states to cease meddling in Iraq's domestic affairs - an apparent reference to Iran and Syria, which are accused by the US and Iraqi officials of aiding Sunni and Shia armed groups.
He blamed foreign fighters in groups such as al-Qaeda in Iraq and loyalists of Saddam Hussein's Baath party government for driving much of the current violence that grips the country.
"I would like to state here that the root of the battle we are fighting in Iraq and the root of the bloody cycle that we are undergoing is the presence of terror organisations that have arrived in the country."