It claims that the software giant is abusing its market dominance by pushing Windows 10 users towards its own anti-virus software.
The European Commission confirmed it had received the complaint.
Microsoft said its security features "comply with competition laws".
In a statement, it said it would "answer any questions regulators may have".
"Microsoft's primary objective is to keep customers protected," it added.
In its statement, Kaspersky said: "These actions by Microsoft lead to a lower level of protection for users, a limitation on their right to choose, and financial losses both for users and security solution manufacturers."
Kaspersky initially filed a complaint against Microsoft with Russia's Federal Anti-monopoly Service (Fas).
Since then, Microsoft has made some product changes, including to a status display window which suggested that users uninstall their existing anti-virus in favour of its own, dubbed Windows Defender.
Kaspersky has also filed a complaint to the German Federal Cartel Office.
Russian security software-maker Kaspersky has filed an anti-trust complaint against Microsoft with the European Commission.