The alert was flagged up by the National Crime Agency, and concerns the infamous Asian betting market.
When made aware of the possibility the game at Craven Cottage had been targeted, the SFA's Integrity officer, Peter McLaughlin, contacted Fifa and informed team manager, Gordon Strachan.
The Scotland match is one of five games being played tomorrow - USA v Azerbaijan, South Korea v Tunisia, Denmark v Sweden and Mexico v Israel are the others - and all of them have been the subject of the alert.
Nigeria - whose home game it is - have previously been the subject of investigations into illegal betting.
It has been confirmed that there has been no unusual activity detected so far, but intelligence has indicated there is reason to 'red-flag' the game.
The Gambling Commission have warned the major betting companies to be on guard against any unusual betting patterns.
The most common illegal betting involves spot-fixing rather than results, for example gambling on when the first corner or throw in will occur.
This can involve a few players rather than an entire team or teams.
In response to enquiries about the investigation, the National Crime Agency - Britain's equivalent of the FBI - issued this statement.
"The NCA will, from time to time, provide operational detail necessary for public re-assurance purposes.
"It does not routinely confirm or deny the existence of specific operations or provide on-going commentary on operational activity."
But, the SFA are adamant this has nothing to do with them or any of their players and their Chief Executive, Stewart Regan, insisted, they are continuing to make preparations for the game.
He said: "We have been liaising with the relevant authorities, the National Crime Agency and Fifa, and will be preparing for the match as normal."
Fifa are currently investigating allegations of match fixing in the World Cup qualifier between Kenya and Nigeria on November 14, 2009.
The Nigerian FA have submitted a video tape to Fifa's investigating body of the game at the Moi International Sports Centre in Kasarani.
It is part of an investigation involving a convicted match-fixer, Wilson Raj Perumal from Singapore, who claims he helped fix the match that saw the Super Eagles beat Kenya 3-2 and book a place at the finals in South Africa 2010.