The company has started contacting agencies with a view to drawing up a shortlist.
The UK business is handled by Claydon Heeley Jones Mason, which is thought to have been invited to repitch.
The process is in its early stages. However, the brief is expected to involve creating a database of UK PlayStation customers to deepen Sony's relationship with them and increase sales of its products.
The launch of PlayStation3 later this year is expected to result in an increase in communications activity.
Claydon Heeley won the UK and Europe account in 1998 in a pitch against Black Cat (now RMG Connect), Momentum, KLP and Payne Stracey (now Tequila\London).
One of its most recent campaigns was a DM campaign using fridge magnets to represent six game launches.
PlayStation's UK advertising is handled by TBWA\London, which is not thought to be affected by the review.