Parents and carers at Camau Bach in Aberystwyth were told someone trespassed into its Green Room from the outside play area.
It said police had been told and were informing nearby schools.
Camau Bach shut temporarily earlier this year after a boy was left unattended on a minibus for two hours.
Dyfed-Powys Police and the charity Mudiad Meithrin, which owns the nursery, have been asked to comment.
The letter, signed by nursery manager Sioned Davies, said the individual did not come into contact with any children and ran away when confronted by a staff member.
It said, as an extra security precaution, the height of existing gates would be raised.
Parents have been warned about an intruder at a Ceredigion nursery, according to a letter seen by BBC Wales.