Goldman Sachs Group Inc. could withhold millions of dollars in pay from former chief Lloyd Blankfein because of the scandal around a corrupt Malaysian investment fund, the bank said Friday.

Goldman’s board of directors won’t—for now—pay out deferred bonuses that Mr. Blankfein and two other former top executives earned in prior years, and will instead await the outcome of an investigation into Goldman’s work for the Malaysian fund, known as 1MDB. The bank said it might also claw back some of the $23 million it paid new Chief...