The collages showed photos of the heads of Iranian Supreme Leader Ayatollah Ali Khamenei and his predecessor, Ayatollah Ruhollah Khomeini, placed on the bodies of two dogs. They were published in the newspapers "Gun" and "New Fakt" last week.
The Prosecutor-General's Office say officials are investigating the publications for possible "inciting of ethnic and religious hatred" and other charges.
In a statement, the Iranian Embassy in Baku officially protested. It said publishing the collages serves "the dirty intentions and unlawful goals of America and its Zionist allies."
The incident comes just weeks after a caricature published in an Iranian newspaper depicted Azeris as cockroaches, sparking violent riots in Iran.
Azeris are Iran's largest minority, making up about one-quarter of Iran's 70 million population.
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