The untitled film begins production in New York this fall. Letty Aronson, Erika Aronson and Edward Walson are producing.
No plot details have been revealed yet.
The movie follows Allen's latest, "Café Society," which made its world premiere at the Cannes Film Festival earlier this year.
The comedy starring Steve Carrell, Jesse Eisenberg, Blake Lively, Parker Posey, Kristen Stewart and Corey Stoll will hit theaters in Los Angeles and New York on July 15, with a national theatrical expansion to follow.
"Café Society" will be available exclusively to Amazon Prime members through Prime Video after its theatrical run.
Allen is also in postproduction on an untitled six-episode TV series for Amazon Prime due to be released later this year. Allen wrote and directed the series and also stars opposite Miley Cyrus and Elaine May.