They said it could “further deteriorate the security situation in West Africa”, which is battling Jihadist groups.
The Western nations accused the Russian government of providing material support in the deployment of mercenaries from the Wagner group.
Russia denies any government links with the shadowy private military company.
The EU has recently imposed sanctions on the Wagner group, accusing it of involvement in serious human rights abuses.
The notoriously secretive group was first identified in 2014 when it was backing pro-Russian separatists in the conflict in eastern Ukraine. Since then, it has been involved in countries including Syria, Mozambique, Sudan, Libya and the Central African Republic.
In a statement on Thursday, the Western nations warned that the deployment of Wagner mercenaries could “lead to an aggravation of the human rights situation in Mali [and] threaten the agreement for peace and reconciliation” in the conflict-torn country.
They also said they “deeply regret” the choice of the Malian authorities to use “already scarce public funds” to pay foreign mercenaries instead of supporting the country’s armed forces.
The statement was jointly issued by Belgium, Canada, Czech Republic, Denmark, Estonia, France, Germany, Italy, Lithuania, Netherlands, Norway, Portugal, Romania and Sweden and the UK.
France – Mali’s former colonial ruler – has recently pulled out of its last base in northern Mali, part of a wider draw own of its troops fighting Islamist militants in the Sahel region.
Mali has so far made no public comments on the latest developments.