A BBC documentary reported in September that al-Fayed, who died last year aged 94, had sexually abused female staff, forced them to have medical screenings and threatened consequences if they tried to complain.
Al-Fayed always denied similar accusations before his death.
"This investigation is about giving survivors a voice, despite the fact that Mohamed al-Fayed is no longer alive to face prosecution," Commander Stephen Clayman from London's Metropolitan Police Service said in a statement on Wednesday.
"However, we are now pursuing any individuals suspected to have been complicit in his offending, and we are committed to seeking justice."
He did not say how many people were under investigation.
Lawyers representing victims have said the abuse took place not just at Harrods but also in other locations linked to al-Fayed's business empire, such as Fulham Football Club, the Ritz Paris hotel and his estate in Surrey, with more than 400 people coming forward.
The BBC documentary said Harrods failed to intervene and helped cover up abuse allegations during his ownership.
Harrods has apologised and said it is "appalled" by the allegations. It has launched a process for any current or former Harrods employees who wished to claim compensation, although the plan has been criticised by victims' lawyers.
Earlier this month, the Metropolitan Police Service referred itself to the police watchdog over its handling of two complaints against al-Fayed in 2008 and 2013. The MPS said it would review all historical reports made against al-Fayed.
