The Weekend Herald has been told the sexual activity allegedly took place during work hours and was filmed on a police device, such as an iPod or iPhone.
Part of the internal inquiry concerns whether the pair asked the junior colleague to keep quiet. She has not left the police.
Police spokeswoman Noreen Hegarty could not confirm details of the incident, including the ranks, roles of those involved, equipment used or where it happened, because it was an employment matter.
She said allegations such as this one "are taken seriously, acted on quickly and investigated robustly".
The scandal will again raise questions about attitudes to sex within an element of the force, as the national hierarchy continue to implement the recommendations of the 2007 commission of inquiry into police misconduct following the Louise Nicholas case, and soon after public confidence was shaken by the Roast Busters inquiry.
The percentage of staff who reported having experienced or witnessed inappropriate workplace conduct dropped from 19 to 16 over the past four years.
"Ideally, the gradual shift towards a more respectful and value-driven culture within New Zealand Police should help prevent inappropriate conduct from happening in the first place," according to the findings of a 2013 workplace survey.
"However, when these instances do occur, staff will look to the organisation to address them in an appropriate and effective manner and this remains a challenge."
Of staff who reported inappropriate conduct, 76 per cent felt management did not follow through effectively, up from 70 four years before.
There is also a gender divide, with women scoring consistently lower than men on the "respect and integrity" questions of the survey.
"This is an area of concern, particularly given that females are more likely to be a victim/witness of bullying, harassment and discrimination," said the report authors, who noted that 19 per cent of women had experienced such behaviour, compared to 14.7 per cent of men.
That 19 per cent figure had decreased from 24 per cent in 2010, but the report said this could be because women feel less confident in reporting inappropriate behaviour.
Associate Professor Nicola Gavey, a University of Auckland psychologist who specialises in gender issues, said filming sexual activity and sharing it was not just isolated to the police.
"It is part of our broader culture. I think the key thing is how the police are responding to gendered issues of power. I think it's brilliant the police are acknowledging this, seeing it as an issue which needs to be addressed. That's really positive."
A spokesman for police national headquarters said the force was making good progress on implementing the commission of inquiry's recommendations - particularly around the treatment of victims of sexual crime.
"Police currently have a 79 per cent trust and confidence rating and we hold that because people know that we hold our staff to very high standards of behaviour."
