Amazon.com and existing movie download sites like Movielink and CinemaNow are in talks with Sony to use the service, which will launch in the first quarter of 2007, the newspaper reported in its online edition.
Sony is also working on a service that would allow downloads directly to the PSP, said The Wall Street Journal's online edition.
Spokespersons for both Sony and Sony Computer Entertainment in Tokyo deferred requests for comment to the company's U.S. offices, which were closed.
Sony has already tried to expand the PlayStation Portable's uses beyond gaming to movies. It began offering movies on the small discs used by the PSP but sales have been low and the movies never caught on among many users.