Immonen appeared in a group photo with representatives of the movement at the grave of Eugen Schauman back in June.
In a statement he issued on Sunday, the Finns Party MP said he has no links with the organisation and neither related with the organisation or its activities.
Immonen's links with Neo-Nazis has appeared in the media following the anti-multiculturalism remarks he posted on the social media site Facebook in July.
According to the Saturday's report run on the print version of the Finnish language tabloid Iltalehti, the links between anti-immigrant Immonen and the Neo-Nazi Finnish Resistance Movement appears to be closer than had first been thought.
The story was published after a Finns Party official Matti Putkonen demanded that the media prove its claim of Immonen links with Neo-Nazis.