No title or premiere date for the film has been set, The New York Times reported.
Scorsese described Clinton in a statement as "a towering figure who remains a major voice in world issues" and who "continues to shape the political dialogue both here and around the world."
"Through intimate conversations, I hope to provide greater insight into this transcendent figure," Scorsese said.
"I am pleased that legendary director Martin Scorsese and HBO have agreed to do this film. I look forward to sharing my perspective on my years as president, and my work in the years since, with HBO's audience," Clinton said.
Scorsese previously worked with HBO on the documentaries "George Harrison: Living in the Material World" and "Public Speaking" about the author Fran Lebowitz.
Clinton, 66, served as president from 1993 to 2001. His wife Hillary is secretary of state under President Barack Obama.