Amazon.com Inc. said Tuesday it plans to build its first air cargo hub to accommodate its growing fleet of planes, signaling the company is ramping up its expansion into transporting, sorting and delivering its own packages.

The Seattle-based retailer said it expects the new air hub, located at Cincinnati/Northern Kentucky Airport in Hebron, Ky., to create more than 2,000 jobs. The move will lessen its dependence on traditional carriers, including United Parcel Service Inc. and FedEx Corp., both of whose largest hubs are...