Security camera footage from the November 23 attack in Jerusalem appeared to show two girls aged 14 and 16 in school uniform chasing a man with scissors before being shot by the soldier.
He then appeared to shoot one of them again after she had already collapsed and was on the ground.
The aim of the investigation is "to verify... Accusations that the policeman fired on the terrorist after she had been neutralised and... No longer posing a threat," a ministry statement said.
The ministry said that the policeman is the first on-duty officer to be investigated since a wave of unrest that erupted on October 1.
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Since then, almost daily attacks by Palestinians and clashes with Israeli soldiers have killed 116 on the Palestinian side, 17 Israelis, an American and an Eritrean.
The justice ministry said it began the investigation at the request of Attorney General Yehuda Weinstein who took the decision following a request by state prosecutor Shay Nitzan.