The rapper mogul will serve as a musical director on the upcoming film, which will be set in modern-day New York and star Willow Smith as the main orphan character.
Will Smith confirmed on his interview with Good Morning America that he will be producing his daughter's movie and Harry Potter's Emma Thompson will write the screenplay.
Thompson told BBC News of working with Jay-Z, Will and Willow: "I think it's a very good combination.
"We're looking for directors so the management will come up with a director in the next week or two weeks. Then I'll do some work with them and we're hoping to shoot next year, so I'm very excited."
Jay-Z has a previous connection with the musical as he sampled a song from the Annie soundtrack for his 1998 hit single 'Hard Knock Life (Ghetto Anthem)'.
Jay-Z recently announced that he will curate the Made in America two-day musical festival, which will feature performances by Pearl Jam, Santigold, Skrillex, Rita Ora and Odd Future.
Watch the music video for Jay-Z's 'Hard Knock Life (Ghetto Anthem)' below: