LeBron James -- Police Escort Now 'Under Investigation'

LeBron James has police departments all over South Florida throwing up their hands ... disavowing any involvement with the police escort LBJ got to a concert -- but TMZ has learned Miami-Dade PD is now officially investigating the matter.

TMZ spoke with four police agencies -- Miami City PD, Miami Gardens PD, Florida Highway Patrol, and Miami-Dade PD -- and all stated on the record that it was not one of their cruisers leading LBJ to the Jay Z/Justin Timberlake show on Friday night.

LeBron posted an Instagram video of himself riding behind the police car with its strobe lights flashing as they drove down the wrong side of the road.

However, several law enforcement sources kept pointing us back to Miami-Dade PD, claiming that would be the agency with jurisdiction at Sun Life Stadium, where the concert was held.

While Miami-Dade initially denied involvement ... an officer with the agency now tells us they are "investigating" because LBJ's escort would've been a break from protocol.