The Community Security Trust said it had reported the group to police after a video was screened on stage on Monday appeared to show the Star of David entwined with a swastika.
A backdrop showing the graphics appeared behind the band as they performed their 2000 song Swastika Eyes during the one-off gig at The Roundhouse in Camden.
The CST, which provides protection for Jewish communities in the UK, said it was "appalled" and called on the venue to carry out an "urgent investigation".
In a statement to the Press Association, a spokesperson said: "Entwining a Star of David with a swastika implies that Jews are Nazis and risks encouraging hatred of Jews.
"There needs to be an urgent investigation by the venue and the promoter about how this happened and we have reported this to the police."
Primal Scream, founded by Bobby Gillespie in 1982, were performing a 25-year anniversary show for their album XTRMNTR.
As the group performed Swastika Eyes, pictures of political figures including Israeli Prime Minister Benjamin Netanyahu appeared behind them, showing what appeared to be the Star of David combined with a swastika in their eyes.
A spokesperson for the Roundhouse told the Daily Mail newspaper it was investigating the incident.
"We have been made aware of alleged use of content that was screened during a performance by Primal Scream at the Roundhouse on December 8.
"We are investigating this matter but have not as yet been able to substantiate the claim.
"We take any instance of antisemitism extremely seriously.
"Any acts of hatred, discrimination or prejudice are entirely unacceptable and have no place in our community or spaces."
Primal Scream have been approached for comment.
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