There was no damage to the embassy and a French foreign ministry official said it was too early to say whether it was the target of the attack.
The blast comes three days after Mohamed Ould Abdel Aziz, who staged an internationally condemned coup a year ago, took office as president following elections in the former French colony.
Defeated opponents denounced his poll victory last month as a fraud, but France said it was ready to re-engage with the Saharan country, applauding his tough stance against al-Qaeda and other armed groups operating in the region.
Last month a judge charged three men for the murder of a US aid worker, killed in Nouakchott.
The men were said to be connected to al-Qaeda in the Islamic Mahgreb.
The group claimed responsibility for the murder, saying it was in retaliation for US military operations in Afghanistan and Pakistan.
In 2008, 12 Mauritanian soldiers patrolling north of the capital were ambushed and shot dead by suspected al-Qaeda fighters.