It follows explosive allegations against Pell, Australia's most senior Catholic cleric, aired by the Australian Broadcasting Corporation in July, which he strongly denied.
Victoria state police said in a statement that three officers “travelled to Rome last week where Cardinal George Pell voluntarily participated in an interview regarding allegations of sexual assault”.
“As a result of the interview further investigations are continuing. We are not prepared to comment further at this time.”
The allegations came from two men, now in their 40s, who said they were groped by Pell in summer 1978-79 at Eureka pool in Ballarat, Australia, where the cleric had grown up and worked.
The broadcaster also alleged Pell was naked in front of three young boys, believed to be aged eight to ten, in a surf club changing room in summer 1986-87.
The ABC said there were also complaints relating to Pell's time as Archbishop of Melbourne and his conduct with choirboys at St Patrick's cathedral in the 1990s.
Pell has denied the allegations and suggested there was a conspiracy against him.
The claims came just months after Pell admitted he “mucked up” in dealing with paedophile priests in Victoria state in the 1970s, while giving evidence to an Australia inquiry into institutional responses to child sex abuse.
In August, Pope Francis told reporters: “We must avoid a media verdict, a verdict based on gossip” when asked about the allegations against the cardinal.
Pell was ordained in Rome in 1966 before returning to Australia in 1971 and rising to become the nation's top Catholic official.
He left for the Vatican in 2014 after being hand-picked by Pope Francis to make the church's finances more transparent, although his powers were reined in earlier this month.