According to reports, McGregor, who is currently starring in Roman Polanski's The Ghost Writer, will portray the British monarch who abdicated the throne in 1936 in order to marry American divorcee Wallis Simpson.
He will be seen alongside Oscar-nominated actress Vera Farmiga, who will portray his screen lover Wallis, and Abbie Cornish, who will play a modern day character in the period movie.
It is the pop star's first project as a writer and director since critically panned 2008 comedy Filth and Wisdom. W.E. is still in pre-production and has no release date.