The investigation would cover every branch of the Vatican administration, the director of the l'Osservatore Romano, Giovanni Maria Vian, wrote.
The newspaper interviewed Archbishop Angelo Becciu who will take charge of the investigation.
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Becciu, who as deputy secretary of state is the third most powerful figure in the Church hierarchy, denounced what he called the "lack of loyalty" and "cowardice" of those behind the leaks.
They were, he said, taking advantage of their privileged situation to publish documents when they had an obligation of reserve.
Among the confidential Vatican documents leaked to Italy's press are some that have dealt with allegations of corruption within the Vatican.
They have mainly centred on the activities of the Vatican bank and Vatican Secretary of State, Cardinal Tarcisio Bertone.
Another document, dated December 30, warns the Vatican of an unspecified plot to assassinate Pope Benedict XVI.
Vatican spokesman Federico Lombardi has denounced the leaks, saying they tended to "create confusion and show the Vatican, the government of the Church and the Church itself in a bad light".
Vatican officials have also denounced Italy's press, which has been happy to run stories based on the leaked documents.
Officials have accused the media of waging war on the Vatican hierarchy and in particular Bertone, whose position is second only to that of the pope.
