The U.S. Embassy's alert, adding the word "imminent," appeared to be more urgent than an advisory last month that cited increased indications of attacks in New Delhi.
The warnings noted that markets and other areas frequented by Westerners in New Delhi have been targeted in past attacks.
Militants linked to Pakistan-based Islamic groups have been blamed for previous attacks in the Indian capital.
The U.S. alert said Americans in India should maintain "a high level of vigilance," remain aware of their surroundings and watch out for unattended packages.
The Canadian travel warning said that "credible and specific reporting indicates that a terrorist attack could be carried out in the following days or weeks, in market areas of Delhi frequented by foreigners." It echoed a warning for Australian travelers to "exercise a high degree of caution" in India in general and to avoid crowded shopping areas in the capital.
Local police said they were aware of the warnings of possible attacks.
"The Delhi Police is taking appropriate measures in this regard," police spokesman Rajan Bhagat said, according to Press Trust of India news agency. He did not elaborate.