The allegation has been described as "sexual in nature," Fort Bend County Sheriff Troy Nehls told the Associated Press.
TMZ first reported that Smith was under investigation. Smith has not been arrested and no charges have been filed.
John Healey, the district attorney for Fort Bend County, Texas, told SI.com that he could not comment on the circumstances concerning the probe, but he said his office is working with the Fort Bend County Sheriff's department to look into possible multiple incidents involving Smith.
The investigation started in Colorado, where the case was first filed, but was moved to Texas, where the incidents allegedly took place.
Smith, 33, signed a one-year deal worth $2 million with the Broncos last month.
"Last night, we became aware for the first time of an allegation involving Antonio Smith," the Broncos said in a statement. "We are now in the process of gathering more information.
He was released by the Oakland Raiders after one season in a salary cap move. Smith was selected in the fifth round of the 2004 NFL draft by the Arizona Cardinals, where he spent his first four seasons.
He then played five seasons with the Houston Texans. He has 44.5 career sacks in 155 games, including 133 starts.
- Scooby Axson