"Kill Me Three Times" will also include Alice Braga, Teresa Palmer and Bryan Brown among the cast, reported Variety.
Principal photography will begin soon in and around Perth and the southwest region of Western Australia.
The movie is set in "a sun-drenched Australian surfing town, where a young singer, portrayed by Alice Braga, is the thread that binds three tales of murder, blackmail and revenge".
Pegg's assassin is hired by the wealthy husband of Braga's character, and Aussie movie veteran Brown plays a corrupt local cop.