The league action comes one day after the site posted a video that included below-the-waist photos, said to be of Favre.
"We are reviewing the matter," league spokesman Greg Aiello said when asked about reports that a person alleged to be Favre sent voice mails and lewd pictures to Jenn Sterger.
Asked to respond to the Deadspin report on Thursday, Favre said: "I'm not getting into that. I've got my hands full with the Jets and am trying to get some timing down with our guys, so that's all I'm going to discuss."
Bus Cook, the agent for the three-time league MVP, didn't immediately return messages.
Minnesota Vikings coach Brad Childress says he has talked with Favre about the investigation.
"We just talk about what's out there and look it right in the eye and deal with it to the extent we can," Childress said on Saturday. "It doesn't affect anybody else in this locker room, except Brett Favre."
Vikings receiver Percy Harvin said the team was focused on playing the Jets.
"We're just worried about football and beating the Jets," Harvin said. "We support everyone in this locker room in good times and bad."
Deadspin reported that a man alleged to be Favre contacted Sterger on MySpace and began leaving her voicemails. The website posted a video of the voicemails and several graphic pictures allegedly sent to Sterger's cell phone.
"Send me a text. Love to see you tonight," one voicemail said.
The 26-year-old Sterger, now a TV personality for Versus, has a website that describes her as an actress, model, writer and television host. Her duties during Jets games included introducing the Jets' dance team, asking trivia questions and making announcements to the crowd.
Sterger's manager Phil Reese said she is "not doing any interviews or commenting at this time," but that "Jenn did not provide Deadspin with any information."
In an e-mail to The Associated Press, A.J. Daulerio, Deadspin's editor in chief, declined to reveal the source of the material. He did say the source of the photos contacted him and that Deadspin paid "more than we ever have" for them.
"I was certain about the accuracy of her story, the evidence was presented substantiating that," he said, "and then as things began to unfold, it appeared more and more likely that this happened. Plus, there will be more."
The Jets referred all questions to their public relations firm, Sunshine, Sachs and Associates.
"We are working closely with the league in their review of this matter," said the firm's spokesman, Jesse Derris.
Deadspin also reported that Jets director of media relations Jared Winley may have been an intermediary between Favre and Sterger. But Derris said Winley "played no role in this alleged incident."
If the NFL finds that Favre violated its personal conduct policy, Favre could be fined or even suspended. The league's policy allows it to punish a wide range of behavior, even that which is not illegal.
Commissioner Roger Goodell used the policy to suspend Pittsburgh Steelers quarterback Ben Roethlisberger for four games after he was accused of, but not charged with, sexually assaulting a 20-year-old woman at a Georgia college bar.
Favre, who turned 41 on Sunday, and his wife, Deanna, have been married 14 years. He became a grandfather in the spring.
For the NSFW pictures Brett Favre sent out to Jenn Sterger CLICK HERE. (Be warned, these are graphic pictures).