The Financial Reporting Council has announced that it has launched a probe after it emerged in August that SportsDirect's accounts fail to disclose that international deliveries are run by Mr Ashley's brother, John.
Sports Direct pays Barlin Delivery - run by the founder's older brother - a share of the revenues generated by orders that are dispatched overseas.
The FRC is probing whether these details should have been disclosed.
The organisation said: "The Financial Reporting Council (FRC) has commenced investigations under the Accountancy Scheme and the Audit Enforcement Procedure in relation to the preparation, approval and audit of the financial statements of SportsDirect.
"These decisions follow reports of an arrangement between Sports Direct and Barlin Delivery Limited which was not disclosed as a related party in the company's financial statements."
Mr Ashley has come under intense pressure from shareholders over corporate governance over the past six months and the Newcastle United owner received a dressing down by furious MPs over the summer.
The billionaire was grilled over working conditions at the company's Shirebrook factory, where it emerged staff were not paid the national minimum wage.