The band have yet to decide on a name for the new business venture, but will run the label in partnership with EMI/Universal, reported Digital Spy.
The four-piece - consisting of Bradley Simpson, James McVey, Tristan Evans and Connor Ball - will be responsible for A&R at the new label, which will include discovering and developing new talent.
The group will help their artists produce new music, as well as taking them on tour and supporting them on social media.
The Vamps also revealed the label's very first signing; a Los Angeles-based teen band called The Tide.
The Vamps are scheduled to play 17 dates across five countries this spring, starting at Glasgow's SSE Hydro on April 17.