Cerniauskas, former head of the 15min.lt news website's investigative team, was sacked after it turned out that he produced analyses on public figures and businesses to a PR company for remuneration without informing 15min.lt.
The data watchdog says it will look into the situation "regarding possible unlawful collection of information about natural and legal persons from the state's registers by one media representative."
The investigation will aim to determine if EU rules on personal data management were breached.
Under the EU General Data Protection Regulation (GDPR), those unlawfully managing personal data face administrative fines.
The SDPI says its investigation comes in response to public information.
Cerniauskas earlier confirmed he had done the analyses for Vipcommunications (VIP Viesosios Informacijos Partneriai, or VIP Public Information Partners).
Lithuania's police earlier also launched a pre-trial investigation into Cerniauskas' actions.