Nairobi's deputy police chief, Moses Ombati, said the grenade exploded at God's House of Miracles International Church in Nairobi.
The incident is the latest in a string of grenade attacks since Kenya sent troops into Somalia in October last year.
In March, grenade explosions at one of the main bus stations in Kenya's capital killed nine people and wounded 40 others, the deadliest in the series of attacks.
Al-Qaida-linked al-Shabab militants from neighbouring Somalia have vowed to carry out a major attack on Kenya for sending troops in.
Sunday's attack follows a U.S. Embassy warning that a terror attack on prominent government buildings and hotels in Nairobi could be imminent.
The embassy said Monday that the timing of the attack is not known but they believe it to be at a final planning stage.
Police have said that the Somali militant group is suspected of killing at least 30 Kenyan civilians since Kenyan troops entered Somalia.
In February, police spokesman Eric Kiraithe said the killings — which go back to October — are believed to have been carried out by sympathizers of al-Shabab in Kenya.
He said most of the attacks were carried out in towns near the border between Somalia and Kenya.
Police say that dozens of Kenyan youth have been recruited by al-Shabab and are operating in the country. Al-Qaida announced in February that it was merging with al-Shabab.