MEXICO CITY—Mexican law-enforcement officers are investigating former President Enrique Peña Nieto as part of the country’s highest-profile corruption case in years, a senior Mexican judicial official said.

The probe into the former leader is part of a broad case against Emilio Lozoya, the former head of state-run oil company Petróleos Mexicanos. Mr. Lozoya was arrested in Spain last week and is awaiting a hearing on Mexico’s request for his extradition. Mexican prosecutors have accused him of receiving millions of dollars...