The Office of National Statistics is seeking an explanation from the prime minister's office about remarks Tony Blair made on Tuesday predicting a fall in unemployment before the data were published, the ONS said.
Ministers are given access to ONS data under strict embargo and are not supposed to comment until after publication.
Speaking to union leaders on Tuesday, Blair said: Tomorrow, I think, we will probably see for the first time in some months a fall again in unemployment.
ONS data released on Wednesday showed that the number of people claiming jobless benefit fell by 3,900 in August, confounding analysts expectations for a rise of 4,000.
We have seen reports that the Prime Minister made remarks about the unemployment figures in advance of their publication, the ONS said in a statement.
The National Statistician is looking into the circumstances and has been in contact with the Cabinet Secretary. We will make a further statement shortly.
Economists said the prime minister's remarks had taken the sting out of Wednesday's unemployment numbers and markets were focussing instead on average wages, which grew at their fastest pace in over a year in the three months to July.