Breivik told the court he met a Serbian nationalist in Liberia in 2001, but he was reluctant to disclose details.
He has said he was a member of a group called the Knights Templar. Prosecutors do not believe it exists.
The court is seeking to establish whether he is sane and can be jailed.
Prosecutors showed the court an excerpt from Breivik's 1,500-page manifesto in which he said he had contacts with "Serbian cultural conservatives".
In his manifesto, Breivik wrote that they did a "complete screening and background check" to ensure that he was of "the desired calibre".
He claimed the group was considering "several hundred" individuals throughout Europe for a training course.
His testimony and that of his witnesses is not being broadcast. His testimony is expected to last for five days.
'Mass murderer'
Breivik killed 69 people at a Labour Party youth camp on Utoeya island, having first set off a bomb outside a government building in Oslo that killed eight people.
Breivik prosecution schedule
Prosecution plans for Breivik questioning:
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Wednesday: Breivik's thinking and life from 2001
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Thursday: Bombing of government offices in Oslo
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Friday: Shootings on Utoeya island
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Monday: Events after the bombing and shootings
On Tuesday, Breivik delivered a statement in which he said he would do it all again and asked to be acquitted.
He said he had acted to defend Norway against immigration and multi-culturalism.
The leader of a support group for survivors of the 22 July attacks and victims' families says Breivik will be judged as a mass murderer, not as a man with a political agenda.
"The focus from our point of view is that he is not tried for his political views; he is on trial because he killed people, killed youngsters on Utoeya and my colleagues in the government quarters and that is the main focus for us," said Trond Blattmann.
Breivik's Norway attacks
"He has killed 77 people, he tried to kill several more, and he has ruined our lives and that is what he stands trial for and that is what is most important for us."
The BBC's Steve Rosenberg, in Oslo, says a contradictory picture of Breivik is emerging - a man who hates Muslims, but admired Osama Bin Laden and al-Qaeda.
Our correspondent says Breivik sees himself as a great Crusader, when in fact he was a high school drop out, a failed businessman and an addict of computer war games.
The prosecution began its cross-examination of Breivik on Tuesday.
Earlier, Breivik's lawyers warned that many Norwegians would find his comments upsetting.
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