Internal emails from Sony Pictures were targetted by hackers and released online last month. After analysing malware, the FBI concluded that the North Korean government was responsible for the cyber-attack.
North Korea warned of “grave consequences” if Washington refused to agree to the joint probe and continued to accuse Pyongyang of the hacking, KCNA news agency said.
The secretive state said the accusations from the US were “groundless slander”.
Sony Pictures cancelled the release of satirical film The Interview after threats against cinemas. The plot includes plans to assassinate North Korea’s leader, Kim Jong-un.
On Friday, Sony insisted that it will release the film in some form.
‘We have not caved’
In an interview with CNN on Friday, Sony Pictures CEO Michael Lynton said: “In this instance the president, the press and the public are mistaken as to what actually happened.
“We have not caved, we have not given in, we have persevered and we have not backed down. We have always had every desire to have the American public see this movie.”
Lynton said Sony had “no alternative” but to pull the comedy because cinema chains said they would not screen the film. The Sony boss said the company would now look at “alternative platforms” to enable it to release the film.
On Friday, US President Barack Obama criticised Sony’s decision to drop the film.
“I think they made a mistake,” he said. “We cannot have a society in which some dictator some place can start imposing censorship here in the United States.”
Mr Obama said he was sympathetic to Sony’s plight but added: “I wish they had spoken to me first.”
Earlier on Friday, the FBI pinned the blame on North Korea for a hack of Sony Pictures aimed at stopping the film’s release.
“We are deeply concerned about the destructive nature of this attack on a private sector entity and the ordinary citizens who worked there,” said the FBI in a statement.
Mr Obama said the US will “respond proportionally” to the cyber-attack “in a place and time and manner that we choose”.
Hollywood actors have criticised Sony’s decision to drop the film, with George Clooney calling for the film to be released online.