The star is also co-writing the movie with Diablo Cody, the Oscar-winning screenwriter of Juno and Young Adult.
The script is expected to chart her rise from the slums of New York to global superstardom, via songs such as Like A Virgin and Vogue.
The star said the film would focus on music, adding: "Music has kept me going and art has kept me alive."
The as-yet-untitled project will be Madonna's third as director after 2008's Filth and Wisdom and 2011's WE, which was based around King Edward VIII's affair with Wallis Simpson.
The latter film was panned by critics, and bombed at the box office, making just $2m (£1.5m) against a budget of $11m (£8.5m).