Fujimori, leader of the Popular Force party, is the daughter of ex-president Alberto Fujimori, who is in jail for human rights atrocities.
She herself lost presidential elections in 2011 and 2016. Prosecutors suspect she received funding for her 2011 campaign from Brazilian construction firm Odebrecht.
The company is at the center of a corruption mega-scandal spanning several Latin American countries.
"We have been notified of the start of a preliminary investigation" based on evidence from Brazilian investigators, Keiko Fujimori's lawyer Edward Garcia told reporters.
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He said his client denied any links to Odebrecht and was ready to cooperate with investigators.
Fujimori, 42, stressed on Twitter: "I'll say it for the umpteenth time: neither Popular Force nor I have received money from Odebrecht.
"So I am sure the investigation will confirm Odebrecht did not give us funds," she added.
Prosecutors say Brazilian investigators found a message stored in the telephone of the company's jailed ex-boss Marcelo Odebrecht that appeared to indicate he was making payments to Fujimori.