The DFB will investigate tributes Sancho, Hakimi, Thuram and McKennie made to George Floyd during Bundesliga matches at the weekend.
After scoring the first of his three goals in a 6-1 thrashing of Paderborn on Sunday.
Sancho revealed a t-shirt bearing the handwritten message “Justice for George Floyd”.
He received a booking alongside teammate Achraf Hakimi who also revealed a similar message.
Sancho’s tribute followed on from Thuram who did same after scoring for Monchengladbach against Union Berlin.
Another was Schalke’s United States international McKennie wore a “Justice for George Floyd” armband.
Floyd died while in police custody in Minnesota last week, sparking large scale protests and riots in many cities in the United States.
DFB control committee chairman Anton Nachreiner has now confirmed the tributes are to be investigated.
He stated: “The DFB control body will attend to this issue in the coming days and scrutinise the circumstances of the case.”
According to DFB regulations, such statements are prohibited.
Following Dortmund’s 6-1 victory at Paderborn, Sancho, after scoring three goals in a senior match for the first time, said it was a “bittersweet moment”.
After the game he took to Twitter to share his emotions, writing: “First professional hat trick.
A bittersweet moment personally as there are more important things going on in the world today that we must address and help make a change.
“We have to come together as one & fight for justice.
We are stronger together! #JusticeForGeorgeFloyd.”
Meanwhile, Gladbach coach Marco Rose lauded Thuram for his celebration in tribute to the slain George Floyd.
He said: “Marcus has made the point and has set an example against racism that we all support.”
Other footballers have now begun to speak up in support of the protests, Manchester United forward Marcus Rashford.
“I know you guys haven’t heard from me in a few days,” Rashford wrote on Twitter.
“I’ve been trying to process what is going on in the world.
At a time where I’ve been asking people to come together, work together and be united, we appear to be more divided than ever.
“People are hurting and we need answers.
Black lives matter, Black culture matters, Black communities matter, We matter.”
