The deal includes a five-year partnership between the two companies under which Macy's customers could choose to make payments in four equal, interest-free installments at the online checkout.
Macy's would be one of the first department store companies to offer Klarna's "buy now, pay later" (BNPL) service. Klarna has a similar tie-up already with H&M, the world's second-biggest fashion retailer.
"We are in discussions with some global retailers on exclusive deals," Klarna Chief Executive Officer Sebastian Siemiatkowski told Reuters.
"We at Klarna take a very long-term approach and this investment demonstrates a shared commitment and vision to the continual development of retail over the next years to meet customers changing expectations and preferences."
The value of Macy's investment was not disclosed.
Klarna allows shoppers to buy online through its merchant partners and settle the dues in four installments.
The COVID-19 pandemic has led to a surge in online shopping.
"We're excited to embark on a long-term relationship with Klarna that will help us reach wider audiences looking for seamless alternative payment solutions," Macy's Chief Digital Officer Matt Baer said in a statement.
The United States is one of the largest markets for BNPL services, with intense competition between the likes of PayPal, Afterpay, Affirm and other fintech companies.
Klarna alone recorded 550% growth in the U.S. market in the first half of this year. That helped it raise $650 million last month, valuing the company at $10.65 billion - nearly double the valuation at a funding round in August last year.
Klarna's investors include Silver Lake, Singapore's sovereign wealth fund GIC, and Sequoia, among others.
(Reporting by Supantha Mukherjee, European Technology & Telecoms Correspondent, based in Stockholm; Editing by Mark Potter)
By Supantha Mukherjee