It is said that the man tried to gain access via the palace's north centre gate at around 11:30am but was stopped immediately, Scotland Yard said.
The 44-year-old was searched and found to be in possession of a knife.
He was arrested on suspicion of trespassing on a protected site and possessing an offensive weapon and was taken to a London police station.
Buckingham Palace said the Queen was not at home at the time. No one was injured in the incident.
He tried to enter one of the palace's main entrances which is in everyday use.
It happened just five weeks after a man was arrested for burglary, trespass and criminal damage after breaking into Buckingham Palace.
The suspected burglar successfully evaded three levels of security, including scaling the 12 foot fence that surrounds the palace, and was discovered in one of the Palace state rooms at 22:20 on Monday 2 September.
The man's alleged accomplice, who was waiting on the street outside, was also arrested for conspiracy to commit burglary.
The Queen and the Duke of Edinburgh were not in the Palace at the time as they were on their summer holiday at Balmoral.
September's incident was the worst breach of security at the Palace since 1982 when unemployed father-of-four Michael Fagan climbed up a drainpipe and broke into the Queen's bedroom.
The Queen, who was in bed at the time, spent 10 minutes speaking to the intruder before he asked for a cigarette which allowed her to call a footman, who called the police.
Buckingham Palace is monitored by CCTV and surrounded by a wall and a fence, both of which are covered in anti-climb devices.
The building is also permanently guarded by armed officers from the Royal and Diplomatic Protection Unit and further members of security are also present within the Palace itself.