Depp has already signed on to play a wealthy art dealer in the adaptation of Kyril Bonfiglioli's 'The Great Mortdecai Moustache Mystery'.
There is no clarity on the roles that Paltrow and McGregor are negotiating to star in, the Variety reported.
Director David Koepp will adapt the comedy crime novel.
The story revolves around Charlie Mortdecai, a wealthy art dealer and part-time rogue who often gets himself caught up in strange cases of crime and espionage.
Koepp and Depp last worked together on "Secret Window".
The production might begin later this year after Depp finishes shooting Disney's musical "Into the Woods".
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