Lu Xiwen, 60, is being investigated on suspicion of "serious disciplinary violations", the Communist Party's internal anti-graft body said on its website, using a phrase that normally refers to corruption.
Lu is also a vice mayor of the capital and an alternate member of the ruling party's Central Committee.
The announcement by the Central Commission for Discipline and Inspection came a day after it said it was probing Ai Baojun, a Shanghai vice mayor and a director of China's first free trade zone in the city.
With corruption widespread in China, critics say the lack of transparency surrounding Xi's campaign means that graft investigations are used for political infighting.
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Women are rare in the upper levels of Chinese politics, and state-run media said Lu was the highest ranking female official probed since Xi came to power.
Internal investigations into high-level party officials operate without judicial oversight. Once announced, they are likely to lead to a sacking followed by criminal prosecution and jail sentence.