The company will not confirm how many tracks or what material was taken in the online attack.
In 2010 Sony Music paid $250 million (£158m) to the late singer's estate for a seven-year deal for the rights to his remaining songs.
The first tracks came out with the release of a posthumous album called Michael in December that year.
The singer, who died in June 2009 at the age of 50, had recorded unreleased duets with artists ranging from the late Freddie Mercury and Black Eyed Peas singer will.i.am.
In April last year Sony's PlayStation Network was hacked and the company admitted that the personal details of more than 70 million people may have been taken.
The hack of Michael Jackson tracks is said to have taken place soon after that but has not been revealed until now.
The Sony Music site also hosts tracks by other artists including the Foo Fighters, Olly Murs and Avril Lavigne although it is still unclear whether they are affected.
Two men from the UK have appeared in court to deny computer misuse and copyright offences.
James Marks, 26 and from Daventry, and 25-year-old James McCormick from Blackpool, were arrested last May and are due to stand trial in January 2013.
