Sports World proprietor Sports Direct International – controlled by founder Ashley – and JJB Sport are being investigated by the Serious Fraud Office.
The Office of Fair Trading (OFT) competition watchdog referred the firm to the fraud investigators.
An SFO spokeswoman said: "The investigation is into suspected offences under the Fraud Act and the Enterprise Act."
The OFT said it raided two of the firm's properties yesterday over "alleged anti-competitive conduct".