The investigation was announced by Letitia James who said that she will make public a report into her findings when the probe is complete.
The Democratic governor is facing allegations of sexual harassment from two former female aides in his office, which he says he thought was “playful” banter.
Ms James said her office would look into the allegations made against the governor after she was authorised to do so by Mr Cuomo.
“Today, we received a referral letter providing our office the authority to move forward with an independent investigation into allegations of sexual harassment claims made against Governor Cuomo,” she said in a statement on Twitter.
“At the close of the review, the findings will be disclosed in a public report.”
The latest allegation against the politician emerged over the weekend, when Charlotte Bennett, a 25-year-old former executive assistant and health policy adviser to Cuomo, came forward and spoke to the New York Times about her experience.
Ms Bennett told the newspaper that Mr Cuomo had asked her questions about her sex life during a conversation in his State Capitol office.
And she claimed that he told her that he was open to relationships with women in their 20s.
Mr Cuomo denied the claims saying that he had “never made advances toward Ms Bennett, nor did I ever intend to act in any way that was inappropriate.”
Another former aide of the governor, Lindsey Boylan, made her own allegations of sexual harassment against Cuomo in a post on Medium.
Ms Boylan alleged that Mr Cuomo had invited her to play “strip poker” during a 2017 flight on his state jet, while another aide was sat next to her.
She also claims that in 2018 Mr Cuomo kissed her on the lips after a briefing on economic and infrastructure projects in his New York City office.
Mr Cuomo denied those allegations in a press conference when they were made last December.
“I now understand that my interactions may have been insensitive or too personal and that some of my comments, given my position, made others feel in ways I never intended,” Mr Cuomo said in a statement on Sunday night.
“I acknowledge some of the things I have said have been misinterpreted as an unwanted flirtation. To the extent anyone felt that way, I am truly sorry about that.”