The comedian appeared as an orthodox Jew who urged disaffected urban youth to join the "American-Zionist Axis".
A statement from the prosecutors' office in Paris on Wednesday said they were probing the 1 December performance of Dieudonne M'Bala M'Bala - known in France just as Dieudonne - because it "seemed to constitute defamation of a racist character".
The entertainer, a 37-year-old self-declared atheist born in France of a French mother and a Cameroonian father, went on a show on state owned channel France 3 dressed in a ski mask and wearing a wig, hat and jacket to look like an orthodox Jew.
He jokingly urged disadvantaged French youth - many of them second-generation Arab immigrants from north African Muslim countries such as Algeria - to "convert, like me, try to pick yourselves up, join the Axis of Good: the American-Zionist Axis".
The incident elicited outrage from French Jewish groups and a reprimand to the network from the broadcasting regulator.
Dieudonne, however, has been defiant and has even demanded an apology for being called anti-Jewish, noting that his controversial brand of humour has also in the past targeted Muslims and Christians.
"Everyone is so touchy about this issue.... The ones who are really suffering from racism are not the Jews, but blacks and Arabs. It is easier to make fun of Muslim fundamentalism than Israeli fundamentalism," he said in a press conference days after the programme.
A minor presidential candidate in 2002 elections who once described Usama bin Ladin as the "most important personality in contemporary history", Dieudonne has sought attention with his controversial humour and comments.
Last year, an appeals court acquitted him of slander after he called white Catholics "racist slavers".