The process is being overseen by the AAR and a shortlist is currently being drawn up. A result is expected by the end of June.
National Express currently works with the incumbent of two-and-a-half years, Inferno. The agency will repitch for the business.
Marc Turley, the National Express advertising manager, said: "We are operating in a very competitive market and we need to ensure that we have the best agency resource available to us."
Inferno created National Express Coaches' first TV ad campaign in July 2004. The regional ad introduced the slogan: "Everyone, everywhere, everyday."
Earlier this year, National Express announced a tie-up with Channel 4's Big Brother to set up booths at coach stations for wannabe contestants to audition for the show.
The review comes as National Express faces increasing competition from cut-price entrants such as easyGroup's easyBus and Stagecoach's MegaBus.