Orszag, 41, may take up a position in the investment banking division, Bloomberg News reported without naming its sources. The hiring may be announced as soon as today.
Princeton-educated Orszag was the youngest member of President Barack Obama's cabinet and helped shape the economic stimulus package and health reform. He stepped down from the position in July.
He previously worked as a staff member of President Bill Clinton's Council of Economic Advisers. Orszag's stint at the Clinton White House overlapped with that of Robert Rubin, former executive-committee chairman of Citigroup.
Jacob Lew, Orszag's successor as budget director, worked at Citigroup from 2006 until 2009.