PARIS—France’s antifraud authority has launched an emissions investigation into Renault SA and other car makers, French Economy Minister Emmanuel Macron said Thursday, deepening scrutiny of Europe’s car industry after Volkswagen AG was caught cheating on emissions tests in the U.S.

Mr. Macron, who oversees the French competition and antifraud office known by its acronym DGCCRF, confirmed an industrywide investigation was under way after Renault said antifraud officials searched its headquarters and engineering center Jan....