The centrist French leader said in an interview with French regional newspapers published Tuesday that "Russians and some others" are financing extremist political parties in Europe, without elaborating.
Macron also singled out Bannon for criticism. Bannon, who has been in France in recent days and praised far-right leader Marine Le Pen's campaign, called himself an "observer."
Macron's interview is a last-ditch appeal for support for his centrist movement in the elections, in which nationalists are expected to gain ground amid worries about migration.
Le Pen invited Bannon to a congress last year of her anti-immigration party, which changed its name from National Front to National Rally. However, she has publicly distanced herself from him ahead of France's May 26 elections.
"He has no role in the campaign," she said Monday on FranceInfo. She claimed she didn't know he was in town, although Le Parisien newspaper reported that two National Rally party officials were spotted in the luxury Bristol Hotel where he was staying.
Bannon's presence in Paris in the last week of campaigning - with numerous interviews in the French press - riled other parties, including Macron's.
Le Pen blamed the media.
"It's not us who invite Steve Bannon into the campaign. It's you journalists who invite (him)," Le Pen said, noting the numerous interviews he has given to the French press.
Macron himself has been criticized for his increasingly active role in his party's campaign as polls show his Republic on the Move! neck to neck with Le Pen's National Rally. Her party was the biggest winner in France's European Parliament voting in 2014.
Many in France have framed the European elections as a replay of France's 2017 presidential vote, which pitted Macron against Le Pen - who lost in a landslide - and say the president is on shaky ground throwing himself into the ring.
He argued that the elections are "the most important since 1979 because the (European) Union is facing an existential risk."
Asked to define Europe's biggest enemy, Macron told regional newspapers that "the enemy of Europe is he doesn't believe in its future. The nationalists who want to divide it are the main enemies."
He said he saw "connivance between nationalists and foreign interests, whose objective is the dismantling of Europe" - naming Steve Bannon, "close to the American power structure."
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