By Oana Lungescu
BBC European affairs correspondent, Brussels
President Grybauskaite said it was "regretful" Lithuania had been accused
Lithuania is launching an inquiry into allegations that it hosted a secret CIA prison for al-Qaeda suspects.
President Dalia Grybauskaite said that the inquiry would be conducted by a special parliamentary commission.
Last week, ABC television in the US said a secret facility near Vilnius had housed up to eight men before being closed four years ago.
Lithuania is the third European country to face accusations of hosting CIA prisons after Poland and Romania.
All three have denied the allegations.
During a visit to Brussels, Mrs Grybauskaite said she had no confirmation that the secret prison existed, but that Lithuania would be investigating.
"It is regretful that my country's name is on the list," said the president. "It will be for us to prove if it is true or not."
Her predecessor and the Lithuanian foreign ministry have denied the existence of a CIA facility, mentioned in last week's report by ABC News.
Citing unnamed former CIA officials, the American television station said Lithuania had provided a building on the outskirts of Vilnius, where up to eight al-Qaeda suspects were held until the end of 2005, when the prison was closed.
That is when the first allegations of CIA secret flights and detention centres in Eastern Europe came to light.
Poland and Romania were specifically mentioned in separate reports by Human Rights Watch, the Council of Europe and the European Parliament.
Like Lithuania, both countries are staunch US allies. Both have launched their own inquiries, while insisting they never hosted secret CIA prisons.
But as some EU countries prepare to take in former prisoners from Guantanamo, the pressure on Europe to give a full account of its role in America's "war on terror" is likely to grow.