"As a close security and trade partner of the United States, the European Union must be excluded from the announced measures", Malmstroem said on Twitter after the meeting.
US trade representative Robert Lighthizer is expected to join the two for broader talks later Saturday.
Trump imposed the tariffs - 25 percent on steel and 10 percent on aluminium - despite repeated warnings from the European Union and other allies that this could trigger a full-on trade war.
Britain's International Trade Secretary Liam Fox described Mr. Trump's method for dealing with the problems facing the global steel industry by imposing the 25% tariff on steel and 10% on aluminium as "absurd".
She predicted a "long day" of talks on Saturday, while European Commission Vice President Jyrki Katainen sought to play down expectations, saying it was "a meeting, not THE meeting".
Malmstrom will meet with U.S. Trade Representative Robert Lighthizer on Saturday to discuss steel overcapacity and possible exonerations.
Brazil is the United States' No. 2 steel supplier. He said Canada and Mexico are exempt for now, and other countries could be spared if they can convince the administration that their steel and aluminum exports don't threaten American industry.
Ms Malmstrom said on Friday that she would seek clarity on the U.S. decision and was counting on an European Union exemption.
The list, seen by dpa, includes goods such as bourbon, peanut butter, cranberries and orange juice, as well as steel, textile and industrial products.
Lighthizer made no public comment after the meetings with Malmstrom and Japanese Trade Minister Hiroshige Seko, which stretched several hours.
Tariffs would "seriously impact the normal order of worldwide trade", the Commerce Ministry said. He also added Australia to the list of likely carve-outs.
Australian Prime Minister Malcolm Turnbull "is committed to having a very fair and reciprocal military and trade relationship". Trump wrote on Twitter.
Tokyo and Brussels rejected any suggestion that their exports to the United States threatened the country's national security - Trump's justification for imposing the tariffs despite warnings at home and overseas that they could provoke a global trade war. According to the group, Trump's decision is "undermining the WTO rules and disrupting the global trade order".
"That the United Kingdom was missing from that list [of exemptions] shows how weak and isolated the Prime Minister has become and we risk becoming as a country", said Stephen Kinnock, the Labour MP for Aberavon, where Tata Steel's Port Talbot plant is located.
The United States was "the steward, the leader, of establishing, of developing a system of worldwide relations", Norbert Röttgen, an ally of German Chancellor Angela Merkel who is the head of the foreign affairs committee of the lower house of Germany's Parliament, said at a conference in Brussels.