The case is related to the corruption claims surrounding former Federation Internationale de Football Association secretary general Jerome Valcke and the sale of World Cup TV rights to BeInSports, of which Al-Khelaifi is chief executive.
Swiss prosecutors said the action was carried out with Eurojust, a European Union agency for cooperation in criminal matters.
Al-Khelaifi is a key member of the FIFA World Cup organising commitee.
BeIN Sports' office in Paris were searched on Thursday as part of a criminal probe against Valcke and Al-Khelaifi, according to French authorities.
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The new proceedings have arisen from an ongoing investigation into Valcke for alleged acts of "criminal mismanagement" concerning the awarding of World Cup media rights to certain countries.
In a statement on Thursday, the OAG said the new proceedings involving Al-Khelaifi had been "opened on the basis" of its findings.
Al-Khelaifi's profile has risen in recent weeks as PSG pursued and sealed a world record transfer of Brazil star Neymar from Barcelona for 222 million euros ($260 million).
The 43-year-old Al-Khelaifi is chairman of Qatar Sports Investments which has invested heavily in PSG. BeIN has also acquired a broad portfolio of rights including from European soccer body UEFA for the Champions League and national team matches.
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The OAG said the case developed from the initial proceedings against Valcke, who on Wednesday testified at the Court of Arbitration for Sport in his appeal against a 10-year ban from football imposed by FIFA.
Valcke was FIFA's CEO-like secretary general under then-president Sepp Blatter from 2007 until he was sacked in January 2016.
"FIFA has constituted itself as a damaged party in this investigation", the Zurich-based organization said. The DoJ has indicted or secured guilty pleas from more than 40 people.
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