The title and synopsis of the movie are still kept under tight wraps.
The movie will be his third release for Amazon Studios following "Cafe Society" and "Wonder Wheel", according to The Hollywood Reporter.
"Cafe Society" released in 2016 stars Kristen Stewart, Jesse Eisenberg, Steve Carell and Blake Lively.
Meanwhile, "Wonder Wheel" features Justin Timberlake, Kate Winslet and Juno Temple. It will premiere at New York Film Festival in October and come out in theatres in December.
Allen also worked with Amazon for a TV series. He made his first foray into television with "Crisis in Six Scenes" where he shared screen with Miley Cyrus.