The Electoral Commission said that an initial assessment concluded that "there were reasonable grounds to suspect that potential offences under the law may have occurred".
The investigation will focus on whether the group had accepted "impermissible" donations and on whether it had fully completed its spending return.
"Once the investigation is complete, the Commission will decide whether any breaches have occurred and, if so, what further action may be appropriate," it said in a statement.
The Leave.EU campaign group was founded by multi- millionaire Arron Banks in July 2015 and was initially backed by former UK Independence Party (UKIP) leader Nigel Farage but it lost out on official campaign status to the Vote Leave group.
But it continued to play an instrumental role and has remained active since the June 23 vote, campaigning for Britain to exit the European single market and for a strict immigration policy.
Banks denounced the Electoral Commission investigation as "clearly politically motivated" on his Twitter account.
The businessman and political donor announced on Wednesday that he will run for a seat in parliament in a June 8 snap election called in a surprise announcement this week by Prime Minister Theresa May.
He will stand for parliament in Clacton, in the southeast of England.
The constituency was previously held by Douglas Carswell, UKIP's sole MP, who quit the party last month and announced this week that he would not stand again in the June election.
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