The countries made the allegations in a letter addressed to Director General Mohammed ElBaradei and delivered by the Saudi Arabian ambassador on Monday.
They asked the International Atomic Energy Agency to investigate the matter.
IAEA spokeswoman Melissa Fleming confirmed the receipt of the letter.
"We are circulating the letter to member states and will investigate the matter to the extent of our ability," IAEA spokeswoman Melissa Fleming said.
The exact course of action would be decided after consultation with member states.
Depleted uranium is a waste product of uranium enrichment and has a number of civilian and military applications, including its use in weapons to penetrate tanks and armour plating.
Investigations have been carried out into its use in ammunition in conflicts such as the 1991 Gulf War and 1994-95 Nato air strikes in the Balkans.
The IAEA published a report on the issue in 2002. At the time, IAEA Deputy Director General Werner Burkart said: "To be honest, there are very few health concerns for depleted uranium from a radiological point of view, because it is only very slightly radioactive.
"Even the handling of enriched uranium in industry does not need special protection such as shielding. There are more dangerous radiotoxic elements associated with uranium in nature."
Depleted uranium could pose a health risk, however, in the form of dust found at impact sites.