The alleged abuse occurred in August 2003 at the American base in the eastern town of Gardez, 60 miles south of the capital, Kabul, an embassy statement said. U.S. officials had learned of the allegations from the media, it said.
"The U.S. military has launched an immediate investigation," the statement said.
CBS News Correspondent Tom Fenton, in Kabul, reports the former police colonel, Sayed Nabi Siddiqui, 47, claims that, in a series of different prisons, he was kicked, beaten, sexually taunted and also repeatedly photographed while naked, although that might have been part of the identification process.
"To the best of our knowledge this is the first time anyone in the military chain of command or the United States Embassy has heard of this alleged mistreatment," U.S. Ambassador Zalmay Khalilzad said in the statement.
"We are not aware of the existence of any photos of the alleged incident," he added.
Khalilzad said he was confident the military's investigation would be thorough and lead to "appropriate action" if the allegations are true.
It's not the first time there have been allegations of prisoner abuse in Afghanistan.
"I have in the past spoken to people who have claimed to have had family members who were arbitrarily arrested and taken away and kept for months," says CBS News Correspondent Lara Logan, also in Kabul. "Because there's no judicial process involved, these detainees do not go to trial, they do not have lawyers, they're not represented in any way, by anyone other than the International Committee of the Red Cross, and they do not make their findings public."
On Tuesday, the top U.S. general in Afghanistan said the military had made "very significant changes" to the way it handles prisoners in Afghanistan after alleged abuse, including the deaths of three prisoners.
Lt. Gen. David Barno said the military had investigated "challenges and problems" at outlying bases and that it decided to transfer suspects to the main holding facility at Bagram, north of the capital, more quickly.
Barno made no mention of Gardez or the allegations made by the police officer.
He also rejected an Afghan human rights group's demand for access to the prisoners at U.S. jails in the country to make sure they're not suffering the same kind of abuses alleged in Iraq, saying monitoring by the International Committee of the Red Cross was sufficient.
The New York Times quoted Siddiqui as saying he was wrongly detained on July 15 after he reported police corruption and that someone then accused him of being a member of the Taliban. He said he was held for about 40 days at three different U.S. bases: at Gardez, Kandahar in southern Afghanistan, and Bagram.
He described being humiliated repeatedly during his detention in all three places.
Siddiqui told the Times that for the 12 days he was in Kandahar, detainees were packed into wire cages and forced to use a bucket as a toilet in front of other detainees.
He also said soldiers threw stones and bottles at detainees.
"It was like stoning monkeys at the zoo," he told the New York Times. "They brought buckets of stones and they were laughing as they did it."
The U.S. military opened a formal investigation into the deaths of two Afghans at Bagram's closely guarded jail in December 2002, but says it has had trouble gathering evidence and has yet to release results.
Military autopsies found that both men died of blunt force injuries.
Afghan government officials have expressed concern that any sign of widespread abuse could turn ordinary Afghans against the presence of foreign soldiers, but remain supportive of the presence of 20,000 U.S.-led troops here.
A third Afghan died last June at a holding facility in eastern Kunar province.
A U.S. intelligence official said last week that the CIA inspector general is investigating that death because it involved an independent contractor working for the agency.
The U.S. military views Taliban and al Qaeda prisoners as "unlawful combatants," and has held hundreds captured in the war that ousted the Taliban in late 2001 for more than two years without formal charge or access to lawyers.