The league action came one day after the site posted a video that included below-the-waist photos, said to be of Favre.
"We are reviewing the matter," league spokesman Greg Aiello said when asked about reports that a person alleged to be Favre sent voicemails and lewd pictures to Jenn Sterger.
Asked to respond to the Deadspin report Thursday, Favre said: "I'm not getting into that. I've got my hands full with the Jets and am trying to get some timing down with our guys, so that's all I'm going to discuss."
On Saturday, Vikings coach Brad Childress told NFL.com's Steve Wyche that he has addressed the report and league's investigation with Favre. Childress said the Vikings haven't been contacted by anyone from the league office regarding the matter.
"Everybody here is working on a normal Saturday. It's not a distraction to us at all," Childress said after practice. "We just don't let it be. We address it. We talk about it, and then we're done with it.
"I haven't heard anything. I don't know anything about that. I don't know how to categorize it. We just talk about what's out there and look it right in the eye; deal with it to the extent we can. It doesn't affect anybody in this locker room except Brett Favre."
Later Friday, Deadspin reported that Favre also pursued two female massage therapists who worked part-time for the Jets, according to one of the women. Deadspin didn't identify the women, but a Jets spokesman said the team has contact information for the two women and was giving that to the league. The spokesman requested anonymity because the NFL investigation is ongoing.
The women were two of 17 massage therapists the Jets used during what they called two intensive recovery days during training camp in 2008.
According to Deadspin, one woman exchanged phone numbers with Favre, and the other woman told the website that the quarterback sent "nasty" text messages and invited both women to his hotel room.
On Thursday, Deadspin reported that a man alleged to be Favre contacted Sterger on MySpace and began leaving her voicemails. The website posted a video of the voicemails and several graphic pictures allegedly sent to Sterger's cell phone.
"Send me a text. Love to see you tonight," one voicemail said.
Sterger, who's 26 and now a TV personality for Versus, has a website that describes her as an actress, model, writer and television host. Her duties during games included introducing the Jets' dance team, asking trivia questions and making announcements to the crowd.
Sterger's manager, Phil Reese, said she is "not doing any interviews or commenting at this time" and "did not provide Deadspin with any information."
Sports Illustrated reported Saturday that Sterger would cooperate with the league's investigation. A league spokesman wouldn't confirm the report, and Reese declined comment.
In an e-mail to The Associated Press, A.J. Daulerio, Deadspin's editor in chief, declined to reveal the source of the material. He did say the source of the photos contacted him and that Deadspin paid "more than we ever have" for them.
"I was certain about the accuracy of her story -- the evidence was presented substantiating that," Daulerio said, "and then as things began to unfold, it appeared more and more likely that this happened. Plus, there will be more."
"We are working closely with the league in their review of this matter," said the firm's spokesman, Jesse Derris.
Deadspin also reported that Jets director of media relations Jared Winley might have been an intermediary between Favre and Sterger. But Derris said Winley "played no role in this alleged incident."
If the NFL finds that Favre violated its personal-conduct policy, he could be fined or suspended. The league's policy allows it to punish a wide range of behavior, even that which isn't illegal.
NFL Commissioner Roger Goodell used the policy to suspend Pittsburgh Steelers quarterback Ben Roethlisberger for four games after he was accused of, but not charged with, sexually assaulting a 20-year-old woman at a Georgia college bar.
Favre, who turns 41 on Sunday, and his wife, Deanna, have been married 14 years. Favre became a grandfather in the spring.
The Associated Press contributed to this report.