The Vlaams Blok made significant gains during local elections held in Belgium in October.
King Albert said people had to remember the lessons of the past - and guard against all forms of racism.
Correspondents say the king's remarks are being seen as veiled criticism of the right-wing political party, the Vlaams Blok, which campaigns for independence for Belgium's Flemish population and opposes immigration.
But, recalling his visit to Kosovo in October, he said hard lessons could be drawn from a decade of conflict in the former Yugoslavia.
"When one travels in those parts of the Balkans, one is horrified by the ravages caused, in our time and on our continent, by extreme nationalism," he said.
"This truly incites us to remain on guard against all forms of racism and excessive exaltation of one's identity," he said.
"Let us remember the lessons of the past, and not forget those of the Balkans today."
The Vlaams Blok made significant gains during local elections held in Belgium in October.
It took one-third of the vote in the country's biggest Dutch-speaking city, Antwerp, and increased its share of the vote in other major cities in Flanders.
The increase in support was seen as a backlash against Turkish, Arab and African immigrants.
It is not the first time that the king's Christmas message has included controversial material.
Pope's Christmas greeting
Last year, he used his Christmas Eve address to confirm rumours that he had an illegitimate daughter from an affair 30 years earlier.
Meanwhile, the Pope has opened Christmas celebrations at the Vatican.
"Merry Christmas to all," Pope John Paul II told pilgrims who had gathered in St Peter's Square.
Later on Sunday he is due to celebrate Christmas Eve Mass in the square.
The day's symbolic events will include homeless men bringing sleeping bags as the first gift for the Christ child in a life-size nativity scene set out in the square.