The investigation was started at the request of a Moscow woman who was upset by the novels, said Svetlana Petrenko, a spokeswoman for the Moscow city prosecutor's office.
Petrenko gave no further details on the complaint. The Interfax news agency reported that the woman who sought the investigation believes the second volume in the series contains occult propaganda.
Petrenko said the investigation it is required under law to be made when a request is filed. Once the investigation is completed, prosecutors will determine if any criminal charges will be filed, she said.
The Potter books have drawn complaints in the United States by parents who feel they promote wizardry as a religion.
The books by J.K. Rowling are popular in Russia and have inspired a highly similar local version with a hero named Tanya Grotter, prompting Potter's publishers to threaten a lawsuit for plagiarism.