The FA is looking at whether charges should be brought, following on from a decision by an EFL independent disciplinary commission to expel the Saints from the Championship playoffs and dock four points for next season.
"We will now investigate and won't comment further until we have assessed the evidence," an FA spokesperson said on Thursday.
Southampton admitted to spying on a training session held by playoff semi-final opponents Middlesbrough earlier this month, as well as one held by Oxford United in December and Ipswich Town in April.
All three instances occurred following the appointment of Tonda Eckert as head coach in early December.
The club's appeal against the sanction imposed by the commission was dismissed on Wednesday night, with Boro now replacing Saints in Saturday's play-off final against Hull City.
Southampton chief executive Phil Parsons said the sanctions imposed were "manifestly disproportionate".
Kicking them out of the playoffs also denies them a shot at a Premier League place and with it an estimated £200 million ($A377 million) in additional revenue as a minimum.
Saints' player of the year Leo Scienza described the punishment as "heartbreaking" and said the club's fans "definitely deserved better".
"We gave everything for this dream," he posted on Instagram.
"Day after day, sacrifice after sacrifice, always believing we could bring this club back to where it belongs.
"For me, the dream of playing in the Premier League was something I fought for with everything I had. That's why this pain cuts so deep."
Middlesbrough welcomed Southampton's expulsion, saying the sanction "sends out a clear message for the future of our game regarding sporting integrity and conduct".
Eckert's future as the Saints' boss is now in major doubt, while reports suggest their players are considering legal action against the club.
He was due at Southampton's training ground on Thursday morning and expected to hold talks with the players.
The club said in a statement on Wednesday evening that "trust now needs to be rebuilt".
"That work begins immediately," it added.
"The club will reflect carefully on the events that have led to this point, learn from them and take the necessary steps to move forward responsibly.
"While tonight is a painful moment, this football club will respond with humility, accountability and determination to put things right."
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