Armed security personnel were seen standing guard outside the Israeli embassy on Wednesday morning following the attack.
Israel's foreign ministry confirmed in a social media post that no embassy personnel were injured and the mission was closed at the time of the incident.
The interior minister stated that he had visited the injured police officer, who was reportedly doing well and did not need hospital care for his wounds.
Authorities identified the attacker as a Serbian man who had converted to Islam, and stated that the underage male was being monitored by security services.
The red alert represents the highest threat level, prompting stricter security checks and an increased police presence at infrastructure facilities and areas where large crowds gather.
The officer who was shot sustained a minor knife wound to the face and survived the incident by shooting dead the assailant.
Authorities say the attacker in Belgrade was an underage male who was being monitored by security services.
The officer who was shot survived the attack and shot dead the assailant, identified as a Serbian man who had converted to Islam.
The interior minister said he had visited the injured police officer, who was reportedly doing well and did not need hospital care for his wounds.
Wednesday's attack comes just one day after elections in Israel.