Secretary of State Alexander M. Haig Jr., in the Reagan administration's first substantive response to the assassination of Egyptian President Anwar Sadat, warned "external powers" yesterday against trying to exploit the situation.

Haig spoke at a news conference called to announce a U.S. policy of continued support for Egypt and the Egyptian-Israeli peace process. While decrying the loss of "this gigantic personality at our side," Haig spoke with optimism for continuity and stability in Cairo.

Citing intelligence reports here and in Egypt, Haig attributed the assassination to "a group of fundamentalists, religious fanatics, centered not exclusively but primarily in certain military units."

At this point, he said, there is "no direct link" and "no evidence" suggesting external involvement in the killing of Sadat.

Nonetheless, Haig went out of his way to volunteer, "We would view with great concern at this juncture any efforts by external powers to manipulate the tragic events of the last 24 hours." Under questioning, he said he did not intend any "untoward" alarm, and indicated that he had Libya in mind primarily.

Haig condemned "astonishingly active and prolific and contentious and outrageous and escalatory" rhetoric from Libya Tuesday, evidently referring to Tripoli radio appeals for a revolt by the Egyptian military and masses.

Haig also alluded to Libyan activities near Egypt that had prompted Sadat last week to dispatch Vice President Hosni Mubarak on an urgent mission to Washington.

Haig said these included Libyan "invasion of Chad, some indications of buildup along the border of Sudan and some clear evidence of activities within Sudan," and added that these activities are being reviewed intensely here.

Official sources said a new program of aid to Sudan is being prepared on a top-priority basis, in keeping with Sadat's recommendation through Mubarak late last week.

Haig may make the plan known to Sudanese President Jaafar Nimeri this weekend in Cairo, where both men are expected to be attending funeral services for Sadat.

Haig has scrapped an earlier proposal that he fly from Egypt to Sudan with the new program, but is likely to send an aide there instead.

Sudan, Egypt's southern neighbor, complained in recent weeks of Libyan air raids on villages near Sudan's western border with Chad. U.S. sources said these may have been in retaliation for the action of Sudan-based forces fighting against Libyan-backed elements in the civil war in Chad.

In addition, U.S. intelligence recently intercepted information about a Libyan plot to kill Nimeri, sources said.

Public statements and private reports from Egypt that Sadat's assassination did not involve outside powers has eased the concern of American officials about immediate military clashes between Egypt and Libya.

Washington officials considered them a likely result of any belief in Cairo that Libya was behind the killing. Should such clashes occur, they have the potential of involving Soviet support of Libya and American support of Egypt.

Haig and other U.S. officials discouraged suggestions that a special message had been sent to Moscow about Sadat's death.

Haig said, however, that the Soviets are aware that the United States considers its relationship with Egypt "absolutely vital to our interests in the region and that we would treat it accordingly."

Haig's statements of continued resolve to support Egypt and the Egyptian-Israeli peace process followed a White House announcement that President Reagan has sent cables along these lines to the leaders of U.S. allies and friendly Middle Eastern states.

Haig, in his news conference, called for "a fresh determination" to complete the peacemaking work of the assassinated Sadat. He reiterated U.S. support for the Egyptian-Israeli peace treaty, under which most of the Sinai is scheduled to be returned to Egypt next April, calling it "a lasting achievement in the interests of both parties and of the entire region."

Haig said Sadat's death makes the return of the Sinai on schedule more important than before. At the same time, he added, evidently with an eye to Mubarak's reported hopes, that the United States would not oppose "a strengthening and broadening of Egyptian relationships with the other Arab states."

Haig also said the Egyptian-Israeli talks on Palestinian autonomy "will receive our continuing and active participation in the days ahead." He said the United States will continue to be a "full partner" in this effort, and told a questioner that "we have taken a very active role" in recent resumption of the stalled talks.

The next round of the talks was scheduled for later this month, but it is uncertain whether the new Egyptian government will be prepared to continue them that quickly.

Haig dismissed in a few words Sadat's appeal during his final journey to Washington in August for a U.S. dialogue with the Palestine Liberation Organization in order to make a breakthrough on the Palestinian question.

The longstanding U.S. position against such a dialogue "needs no further elaboration," is understood thoroughly by all concerned and is not likely to change, Haig said.

However, Haig cited a lesser element in Sadat's final trip, the Egyptian's endorsement of the sale of the Airborne Warning and Control System (AWACS) planes to Saudi Arabia. To draw back from the AWACS sale, which Sadat supported, according to Haig, "would make a mockery of what all President Sadat stood for."

Speaking of the assassination, Haig conceded that "doubts, undertainties, unsettlements result" from such events. "That underlines the fundamental importance of reiterating, reverifying by actions and words America's objectives and America's policies in the region."