Dalli resigned from the European Commission last October after a preliminary investigation into a Maltese businessman's request for nearly $80 million from the tobacco industry.
The businessman, Silvio Zammit, allegedly asked for the money in return for his work with Dalli.
Officials suspected the industry aimed to influence a legislative proposal on tobacco products, The New York Times reported.
Dalli denied any wrongdoing and the commission did not find any evidence to support action against him, but the commission's president, Jose Manuel Barroso, forced him to resign.
The new probe, headed by the European Anti-Fraud Office, is focusing on trips Dalli took to the Caribbean last year, the Times said.
The office would not offer any more details, and Dalli declined to comment on the investigation.