The former New Zealand captain appears in advertisements for 22Bet India, a Cyprus-registered online bookmaking company.
The ECB's anti-corruption codes prohibit players, coaches and officials from participating in or encouraging betting on matches.
"We are currently exploring the matter and in discussions with Brendon around his relationship with the Cypriot-based betting company, 22Bet," an ECB spokesperson said in a statement.
"We have rules in place around gambling and will always seek to ensure these are followed."
McCullum's association with the company began before he took over the England job last year but he has been seen in the betting company's recent YouTube adverts around this year's Indian Premier League.
"We are speaking to the ECB about this," McCullum's agent Simon Auteri told the Times newspaper.
"I am not going to comment on anything. We are working through it."
A rejuvenated England have won nine of their 11 test matches since McCullum took over.
