Sony is in talks with Amazon.com, MovieLink and CinemaNow to offer PSP users movies for digital download, with the service due to launch early next year.
Movies will be downloaded to a PC and then transferred onto a memory stick, according to a report from the Financial Times.
The move could be seen as the final nail in the coffin for the UMD movie, with companies such as Paramount, Universal Pictures and Warner Bros. all reassessing the format after disappointing sales.
The digital download service is being developed by Sony Pictures Home Entertainment, and would be the company's first serious commitment to downloads of third-party content.
Rival console manufacturer Microsoft unveiled plans earlier this year to download high-definition movies and TV content directly to the Xbox 360, with support from Paramount Pictures, CBS, MTV and Warner Bros., amongst others.