Andrea Coscelli, chief executive of the Competition and Markets Authority (CMA), said record pump prices are “causing significant concern” for millions of people.
The review was requested by Business Secretary Kwasi Kwarteng on Saturday.
He expressed concern that the 5p per litre cut in fuel duty implemented in March has not stopped prices from soaring.
Figures from data firm Experian show the average price of a litre of petrol at UK forecourts climbed to a record 185.0p on Sunday. That was an increase of 7.1p in just a week. The average price of diesel was 190.9p per litre on Sunday.