Thae was accused of embezzling state funds, selling state secrets and raping a minor, Efe news reported.
North Korea had recalled Thae in June to put him under investigation and on July 12 Central Procuratorate decided to start a probe, a report said.
North Korea also slammed South Korea's coverage of the incident and blamed Seoul for using the case to tarnish Pyongyang's image and step up anti-North Korea campaigns.
The incident was exacerbated by the fact that Britain ignored North Korea's request to send Thae back, but instead handed him over to South Korea.
Seoul's Unification Ministry said on Wednesday that North Korea's deputy ambassador to Britain has defected to South Korea with his family.
If it was true, Thae would become the highest ranking North Korean diplomat who has fled to Seoul.
