Salmond was one of a parade of government officials testifying this week before the Leveson Commission, The Independent reported. The panel is investigating media misconduct including hacking into the cellphones of celebrities and crime victims.
The Scottish minister said he did not agree to a "quid pro quo" with James Murdoch to support the BSkyB deal in return for backing from The Sun. The Sun, a Murdoch tabloid, endorsed the Scottish National Party in 2011, a 180-degree turn from 2007.
Salmond said The Observer appeared to have detailed information on his finances in the period just before the 1999 Scottish elections.
A reporter at the paper told him there had been "great anticipation" because he had bought items at a store called Fun and Games, Salmond said. That was followed by "enormous disappointment" when the store turned out to be a children's toy shop where he bought presents for his nieces.
The Observer is a sister publication to The Guardian, which has played a leading role in exposing hacking by publications in Rupert Murdoch's media empire.
Salmond suggested misconduct is "rife across many newspaper titles."