It cites law enforcement officials and finance executives with knowledge of the development.
One source told the Journal that investigators are looking into whether company executives knew their mortgage securities would see many more defaults than predicted in public documents.
The New York Times, citing anonymous sources, says the Justice Department is also involved in the investigation into the nation's largest mortgage lender.
A Countrywide spokeswoman told the Times the company is "not aware of any such investigation."
Countrywide's CEO was one of three mortgage industry executives brought before a congressional committee Friday to defend their exorbitant pay at a time the industry was reeling.