The film is being produced to mark the 25th anniversary of the legendary popstar's Bad album.
According to BBC News, the documentary covers not just the 1987 record, but also the record-breaking world tour and the highly-regarded music videos it spawned.
Notable stars interviewed for the documentary include Kanye West, Mariah Carey, and Sheryl Crow, who worked as a back-up singer on the 'Bad' tour.
Lee said: "We have footage in this documentary that no-one's ever seen - stuff that Michael shot himself and behind the scenes stuff."
He continued: "We had complete access to [his] vaults. He wrote 60 demos for the Bad record. Only 11 made it.
"We got to hear a lot of that stuff, too, so it was just a great experience."
Lee also stated that he hopes the film would show a more personal side to Jackson, with the 25th Hour director claiming he is "more than just a huge fan of Michael Jackson".
He added: "Having the chance to actually know him and work with him, I deeply care about his legacy."
Jackson passed away in 2009, with the third anniversary of his passing recently being honoured online by his daughter Paris.
The 13-year-old has expressed her ambition to follow in her father's footsteps and enter the entertainment industry herself as an actor.
Watch Martin Scorsese's video for Michael Jackson's 'Bad' below: