Mr Nasheed, the Maldives' first democratically elected leader, left office last year in contested circumstances. He entered the Indian High Commission, or embassy, in the capital on Wednesday as police tried to arrest him in connection with a court case.
Mr Nasheed has called for the formation of a caretaker government to ensure free and fair presidential polls in the Indian Ocean archipelago, scheduled for September.
"We have received the court order to arrest Nasheed," Police spokesman Hassan Haneef told Reuters. "We will follow international protocols and not go inside the high commission."
The new warrant calls for police to arrest Mr Nasheed and produce him in court at 4 pm (1630 IST) on Wednesday.
Mr Nasheed's supporters say he was ousted last February in a coup in the Maldives, a major tourist destination. They have clashed with police outside the diplomatic mission and near the entrance of the country's main high security zone since he took refuge.
Last week, a court ordered Mr Nasheed's arrest after he missed a February 10 court appearance in a case relating to accusations that he illegally detained a judge during the last days of his administration.
If Mr Nasheed is found guilty in the case, he could be barred from standing in a presidential election on September 7. His party says the trial is an attempt to exclude him from the contest and has challenged the court's legitimacy.
Mr Nasheed says he was forced from power at gunpoint after opposition protests and a police mutiny. A national commission last August said the toppling of his government was not a coup, but a transfer of power that followed the constitution, a ruling that triggered several days of demonstrations.
The Maldives held its first free elections in 2008. Mr Nasheed defeated Maumoon Abdul Gayoom, who had ruled for 30 years and was accused by opponents and international human rights groups of running the country as a dictator.