President Sidi Ould Cheikh Abdallahi and other leading government members, including Prime Minister Yahya Ould Ahmed Waghf, were arrested as soldiers were deployed on the streets of the capital and state radio and television was shut down.
Vasily Vasiltsov, head of the consular section at the Russian embassy in Mauritania, confirmed a military coup had taken place in the early hours of Wednesday morning, but said the mission continued to work unaffected.
"It's business as usual," Vasiltsov said, "The president and prime minister have been arrested. But there have been no clashes or disturbances; no violence."
The envoy said he could not predict how the situation would development, adding, that one possible scenario was early elections and a new government.
Abdallahi became Mauritania's first democratically elected president when a military junta handed power back to a civilian government through elections in 2007 after a bloodless coup in 2005.
The president threatened last month to dissolve parliament after MPs filed a motion of no confidence in his new government, which then resigned.
The largely desert country has had a history of coups since its independence from France in 1960.