The chief justice said there were concerns an inquiry ordered by the government would not be free and fair.
The official, Kamran Faisal, was found hanged on Friday in the government hostel in Islamabad where he lived.
Police say he may have taken his own life, but his family allege foul play.
The BBC's M Ilyas Khan in Islamabad says the court's move is likely to be welcomed by Mr Faisal's family and by colleagues at the National Accountability Bureau (NAB) where he worked.
Many NAB officials have been on strike as part of a campaign to demand a separate inquiry into what they see as his mysterious death.
Speaking in court, Chief Justice Iftikhar Muhammad Chaudhry described Mr Faisal's death as "shocking".
"His family members, colleagues, friends and the public at large have shown annoyance and grievances," Justice Chaudhry said.
"And according to them, they are not expecting a free, fair and honest investigation because of the involvement of highly influential political and executive authorities."
Two Supreme Court judges will hold their first hearing into Mr Faisal's death on Thursday. Their investigation will operate in parallel to the judicial inquiry ordered by the interior ministry on Sunday.
Some police investigators say Mr Faisal may have been on anti-depressants at the time he died, which might support claims he took his life. But his family say his body bore marks of torture, suggesting he was murdered.
Mr Faisal had been helping lead the investigation into alleged bribes paid by power firms when Mr Ashraf was minister for water and power in 2010. The prime minister denies wrongdoing.
Last week, the Supreme Court ordered his arrest along with 15 officials also accused in the so-called Rental Power Projects case.
But the prime minister appears unlikely to be detained soon - the head of the NAB has said there is not enough evidence to justify such a move.
The bureau has suspended its investigation into the case, pending the outcome of the inquiries into the death of Mr Faisal.
The Pakistani Supreme Court has set up its own inquiry into the death of an official who was investigating corruption allegations against Prime Minister Raja Pervez Ashraf.