The 28-year-old soldier is currently undergoing medical treatment and counseling at a military hospital in San Antonio, Texas after his May 31 release as part of a controversial swap with the Taliban.
Bergdahl spent nearly five years in captivity at the hands of Taliban-linked Haqqani insurgents after he went missing from his post in eastern Afghanistan near the Pakistani border.
The investigation was announced amid persistent speculation that Bergdahl deserted his post, with some soldiers in his unit alleging he walked away alone.
"The Army has initiated its investigation into the facts and circumstances surrounding the disappearance and capture of Sgt. Bowe R. Bergdahl from Combat Outpost Mest-Lalak in Paktika Province, Afghanistan on or about June 30, 2009," a Pentagon statement said.
Major General Kenneth Dahl, who has deployed to Afghanistan, was named as the investigating officer, it said.
But it remained unclear how long the probe would last and when Bergdahl would be interviewed, as no questioning could take place until officers overseeing his "reintegration" grant approval, officials said.
"The investigating officer will not interview Sgt. Bergdahl until the reintegration team clears such interaction, so no timeline for completion of the investigation has been set," it said.
The top priority remained Bergdahl's "health and reintegration" into the military, it said.
Doctors at Brooke Army Medical Center in Texas said last Friday that Bergdahl was in "stable" condition and was able to walk without problems.
Bergdahl has yet to speak to the news media about his ordeal.
But some fellow soldiers in his unit have alleged he abandoned his post. And he has been denounced by some commentators and retired solders who say he placed his fellow troops in danger by allegedly walking off the base alone.
A petition to the White House demanding Bergdahl be prosecuted has attracted tens of thousands of signatures.
After he went missing in 2009, the military said he was "absent without leave."
An initial army investigation carried out after his disappearance will be taken into account by the new probe, the Pentagon said. But that 2009 report remains classified and has not been published.
The White House has come under criticism for securing Bergdahl's release by transferring five Taliban detainees to Qatar from the US-run prison at Guantanamo Bay, Cuba.