The pair said their venture, to be called Seriously, would aim to put digital activity at the heart of advertisers' thinking and aim to be a high-level digital problem solver for clients.
"We want to make digital a more useful, enjoyable and accountable medium," Baldwin said. "People tend to talk about what digital is, rather than what it can do. Digital is a means of transport and an aid to increased profitability."
The launch of the operation comes 15 months after Baldwin quit as the Publicis vice-president responsible for the strategic development of global business, and seven months after Lockton resigned as a director of the web shop Beatwax.
They will be joint owners of the company, which they believe can capitalise on the growth of broadband and mobile phone capabilities, the increase in online purchasing, and the fact that nearly half the UK population now owns digital TVs.
Lockton said: "We don't believe anyone is doing anything quite like us. Digital agencies have been so busy battening down the hatches that they haven't thought about changing their offering."