STORY: Banned goods include coal, metals, construction materials and advanced technology.
"This decision is really unprecedented. It's a violation of everything," Kremlin spokesperson Dmitry Peskov said in a call with reporters.
"We consider this illegal. The situation is more than serious ... it requires in-depth analysis before we formulate our response and next steps," he added.
Sandwiched between EU and NATO members Poland and Lithuania, Kaliningrad receives supplies from Russia via rail and gas pipelines through Lithuania.
Kaliningrad's governor estimated the ban could affect up to half of all goods that are brought to the region by rail.