Anwar said he arrived at Narita International Airport on a personal visit yesterday and was told by immigration authorities he was barred because of his 1999 conviction for sodomy and corruption.
The controversial conviction, which cast the then-rising political star out of Malaysia's longtime ruling party and into jail for six years, is viewed by many as a frame-up by Anwar's enemies.
"I am puzzled and shocked by the incident," Anwar, 66, told AFP.
He called on Malaysia's government to "probe this incident and lodge a strong protest against Tokyo."
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Anwar said he protested to Japanese immigration officials, saying the 1999 conviction was an invalid reason to refuse his entry and that he visited Japan on three occasions since 2006 without incident.
Officials told him vaguely that they were responding to a more recent "report" against him, he said.
Anwar added that he had been invited to Japan to deliver a speech on inter-religious harmony by a Japanese NGO.
In a blog posting, Anwar said he felt "hidden hands may be at work here" and demanded an explanation from Malaysia's foreign ministry.
"The barring of Anwar Ibrahim from entering Japan raises serious questions on the involvement of this (the Malaysian) government," Anwar's People's Justice Party said in a separate statement.
Malaysia's foreign ministry did not immediately respond to a request for comment.
Anwar said Japan's embassy in Malaysia had told him before the trip there would be no problem entering the country. Embassy officials declined immediate comment to AFP.
Malaysia's ruling coalition has steadily lost ground in parliament since Anwar officially became opposition leader in 2008.
Shortly after a historic strong 2008 opposition showing, Anwar faced new charges of illicit sex with a former male aide. Sodomy is illegal in Muslim-majority Malaysia.