Daniel Mudd, the former chief executive of Fannie Mae, said he has received a Wells notice from the Securities and Exchange Commission, the latest clue that federal investigators have expanded their years-long probe into the troubled mortgage finance giant.

Mr. Mudd, now the head of Fortress Investment Group LLC, said in a statement provided to Bloomberg News that he had received the formal notification from the SEC that it plans to pursue civil claims against him. The development was first reported by Bloomberg News.

Mr....