Anonymous sources familiar with the regulator's probe - further details of which have not been made public - suggested that subpoenas have been issued to both banks and hedge funds.
The move follows the near-collapse of Bear in March, due in part to the erosion of its share value following rumors of a liquidity crisis at the bank.
Lehman has also been the subject of similar speculation, and its share price has also suffered.
Aggressive short-selling for shares in both firms have attracted the SEC's interest.
Commenting on the probe to the news agency, law professor at Boston University Tamar Frankel said: "The SEC is trying to determine whether there was illegal manipulation of market prices, and that is far easier to do if you have a broad sweep."