The New York attorney general has sent a request for emails and financial records to the company.
Allegations surfaced last month that the company's own scientists raised concerns about global warming decades ago and that Exxon had worked to suppress that information.
On Thursday, the company called the allegations "inaccurate distortions".
Exxon Mobil's vice-president for public affairs, Kenneth Cohen, said on Thursday, "We unequivocally reject the allegations that Exxon Mobil has suppressed climate change research."
The investigation centres on whether the company lied as recently as this year to investors about the risks of climate change raised by its own scientists.
Exxon was accused by Inside Climate News and the Los Angeles Times of funding anti-climate change groups to mislead the public about the threat of global warming.
US presidential candidates Hillary Clinton and Bernie Sanders have both called for inquiries into Exxon actions.
Attorney generals from other US states may also join New York in investigating the company.
Oil giant Exxon Mobil is being investigated for misleading the public about the impact of climate change.