Shares in the two companies fell after reports that the European Union executive planned to extend its probe of the deal, which was worth about $57 billion when it was announced.
"The European Commission will decide before midnight on July 15 whether to approve the deal or whether to launch an in-depth inquiry," said Commission competition spokesman Jonathan Todd.
"We have not taken any decision yet," he added.
Shares of Cincinnati-based P&G fell as low as $51.95 on Tuesday, their lowest level since March.
Shares of Boston-based Gillette slipped to $49.53 on the New York Stock Exchange (search), also their lowest level since March.
The combined company would boast more than $60 billion in annual revenue, giving it increased leverage at stores ranging from discounters to grocers.
P&G's acquisition of Gillette is valued at about $51.5 billion based on current stock prices.
Last week, the Commission, which vets all large-scale mergers, decided to extend the deadline on its decision until July 15 to check proposed remedies with competitors and consumers.
A negative decision from the EU executive would mean a four-month in-depth probe of the deal.