Lay, 62, who built the quiet pipeline company into one of the world's largest energy groups, appeared calm and relaxed as he entered FBI offices in Houston on Thursday.
He declined to comment, but in a statement on Wednesday he said he has done nothing wrong and the indictment is not justified.
Lay is the highest official charged in a two-and-a-half-year US Justice Department investigation that has so far yielded 10 convictions against former Enron officials for the fraud that hid billions of dollars in debt at the company, once the seventh-largest in the United States.
Sources said a federal grand jury on Wednesday charged Lay in a sealed indictment with undisclosed criminal charges for alleged misdeeds before the company fell into bankruptcy in December 2001.
Houston-based Enron unravelled at the end of 2001 amid disclosures that it had used off-the-books deals to hide billions of dollars in debt and inflate profits.
The Justice Department inquiry slowly climbed up the corporate ladder to bring criminal charges against 22 former Enron employees.
The fall of Enron triggers investigations that uncovered widespread financial fraud in corporate America and was followed by scandals that brought down giants such as accountancy firm Arthur Anderson, telecoms giant WorldCom.Corp, and GlobalCrossing and HealthSouth Corp.
In a recent interview with the New York Times, Lay accepted responsibility for Enron's demise, but said he had committed no crimes.