Context. The Seyfert 1 galaxy Mrk 841 was observed five times between 2001 and 2005 by the XMM-Newton X-ray observatory. The source is well known for showing spectral complexity in the variable iron line and in the soft X-ray excess. Aims: The availability of multiple exposures obtained by the reflection grating spectrometer (RGS) cameras allows thorough study of the complex absorption and emission spectral features in the soft X-ray band. This paper reports on the first study of Mrk 841 soft X-ray spectrum at high spectral resolution. Methods: The three combined exposures obtained in January 2001 and the two obtained in January and July 2005 were analysed with the SPEX software. Results: We detect a two-phase warm absorber. A medium ionisation component (log ξ ~ 1.5-2.2 erg s cm-1) is responsible for a deep absorption feature in the unresolved transition array of the Fe M-shell and for several absorption lines in the OVI-VIII band, and a higher ionisation phase with log ξ ~ 3 erg s cm-1 is required to fit absorption in the NeIX-X band. The ionisation state and the column density of the gas present moderate variation from 2001 to 2005 for both phases. The high ionisation component of the warm absorber has no effect on the Fe K band. No significant velocity shift of the absorption lines is measured in the RGS data. Remarkably, the 2005 spectra show emission features consistent with photoionisation in a high-density (ne ≥ 1011 cm-3) gas. A prominent OVII line triplet was clearly observed in January 2005 and narrow radiative recombination continua (RRC) of OVII and CVI were observed in both 2005 data sets. A broad Gaussian line around 21.7 Å was also required to fit all the data sets. The derived radial distance for the emission lines seems to suggest that the photoionisation takes place within the optical broad line region of the source.