Labour has called on the Conservatives to return around £5 million of donations allegedly linked to Russia.
Asked about the current tension, Mr Lammy said: "Of course it's important that we stand up to Russian aggression abroad and in central Europe."
He added: "Of course if it is the case that Russia decided to incur or invade the country they will need support and it's absolutely right that we support the Ukrainians in that defensive posture because that's the situation that they will be in."
But he added that it is "hugely important" we deal with Russian aggression "in our own country".#
"We have been calling for months and months for the government to implement the Russia report that our intelligence select committee reported on,” he said.
Mr Lammy mentioned 250,000 properties in London owned by “overseas entities” and £5 million of donations to the Conservative party allegedly linked to Russia.
"What we've asked from the Conservatives is that they give the money back", he said.
Business Secretary Kwasi Kwarteng said the ongoing scandal surrounding Boris Johnson’s alleged breach of lockdown rules is distracting from the “potential war situation” in Ukraine among other issues.
He told the BBC’s Sunday Morning programme: “We’ve got a serious agenda, we’ve got a potential war situation in Ukraine… Russia developing… we’ve got cost of living issues to deal with, there are very serious concerns about how we bounce back from the pandemic.
“So I don’t think focusing on the parties is necessarily the best way for us to get through this.”
It comes after Boris Johnson and French president Emmanuel Macron agreed to work together to fight Russian aggression “wherever and however it might occur” during a call on Saturday.
“The Prime Minister and President Macron stressed that NATO must be united in the face of Russian aggression. They agreed to continue to work together to develop a package of sanctions which would come into force immediately should Russia further invade Ukraine,” a No 10 spokesperson said.