A CIA spokesman says the inquiry by the agency’s inspector general would see if there are any lessons to be learned.
Paula Broadwell, 40, was found to have classified information, but both she and General David Petraeus deny it came from him.
David Petraeus will testify on Friday on Capitol Hill about September’s deadly attack on the US consulate in Libya.
The CIA said in a statement on Thursday: “At the CIA we are constantly reviewing our performance. If there are lessons to be learned from this case we’ll use them to improve.
“But we’re not getting ahead of ourselves; an investigation is exploratory and doesn’t presuppose any particular outcome.”
In his first interview since resigning, David Petraeus told CNN on Thursday he had not given any classified information to his former lover.
He also said he quit because of the affair, not the assault two months ago on the consulate in Benghazi that left four Americans dead.
David Petraeus will be questioned by lawmakers behind closed doors on Friday about that attack, which has been the focus of Republican claims that the Obama administration misled the American people.
Meanwhile, intelligence officials continued on Thursday to defend their handling of the investigation into David Petraeus’ affair.
Director of National Intelligence James Clapper and acting CIA Director Michael Morell appeared before the House intelligence committee.
Dutch Ruppersberger, the panel’s top Democrat, said after the hearing that he was satisfied with the FBI’s investigation.
He said the agency was right not to have notified political leaders sooner, because of rules set up post-Watergate to prevent meddling in criminal investigations.
But another committee member, Representative Adam Schiff, also a Democrat, said “there’s a lot of information we need … with respect to the facts about the allegations against General Petraeus”.
At a press conference in New Orleans, US Attorney General Eric Holder was also asked why the justice department did not inform the White House or lawmakers earlier about the investigation.
Eric Holder said: “As we went through the investigation and looked at the facts and tried to examine them as they developed, we felt very secure in the knowledge that a national security threat did not exist.”
The scandal was discovered when FBI officials looked into harassing emails, allegedly from Paula Broadwell, that were sent to a Florida socialite who is a family friend of the Petraeuses.
The inquiry has also ensnared the US and NATO commander in Afghanistan, General John Allen.
John Allen is under investigation for sending what officials describe as “flirtatious” emails to the Tampa hostess, Jill Kelley.
Adultery is illegal under military law, but General John Allen denies wrongdoing.
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