The investigation into an alleged conspiracy reportedly stems from critical statements made by Democrats Walz and Frey about a controversial ICE operation in the Minneapolis area in recent weeks.
According to sources, subpoenas are likely to be issued during the investigation.
“This is a blatant attempt to intimidate me for standing up for Minneapolis, for our local police and our residents against the chaos and danger that the government has brought to our streets,” Frey said in a statement to CBS News.
Using the legal system as a weapon and threatening political opponents is a "dangerous, authoritarian tactic," said Walz, a Democrat.
"The only person not being investigated for the shooting of Renee Good is the federal agent who shot her," he said in a statement.
Nearly 3,000 ICE agents and other federal personnel have been deployed to Minneapolis and neighboring Saint Paul, Minnesota, with the express goal of arresting people suspected of being in the United States illegally.
The presence of ICE has led to protests and clashes, especially after 37-year-old mother of three Renee Nicole Good was shot and killed by an ICE agent in Minneapolis last week.
The Department of Justice has declined to comment on the details of the investigation.
