Stockholm's chief prosecutor, Krister Petersson, will head the inquiry.
About 10,000 people were quizzed following Olof Palme's murder in 1986; 134 people claimed to have shot him dead as he left a cinema with his wife.
The charismatic Social Democratic leader was left dying in a pool of blood on the pavement.
Mr Petersson faces a Herculean task: the Palme files take up 250m (820ft) of shelving.
The mystery surrounding the death of the man who had dominated Swedish in the years before his death continues to fascinate Swedes.