BRUSSELS—The European Union’s antitrust agency signaled it would conduct a strict review of Bayer AG’s Co. for $62 billion, even though the two companies haven’t yet entered formal negotiations to merge.

The comments by EU Antitrust Chief Margrethe Vestager come unusually early as the two companies haven’t yet agreed to a deal, let alone given formal notice of their plans to the European Commission, the bloc’s antitrust agency.

“Our...