Niedringhaus, a German citizen, died instantly when an Afghan police commander opened fire on the car she was sitting in on Friday. AP reporter Kathy Gannon, who was with her, was wounded but survived.
The police officer surrendered to colleagues after the killing.
A spokeswoman for the federal prosecutors' office, Frauke Koehler, on Monday confirmed the probe, which was first reported by German news site Spiegel Online.
Authorities in Germany are required by law to investigate the killing of any German citizen, at home or abroad.