Exit Through The Gift Shop will have its world premiere at the Sundance Film Festival,It will be the first time the elusive artist, who has never revealed his identity, has spoken on camera.
Billed as "the world's first street art disaster movie", its inclusion in the festival has been shrouded in secrecy.
Sundance organisers are due to announce its inclusion at a press conference on Thursday.
Exit Through The Gift Shop will have its world premiere at the festival on Sunday.
It is described as the story of how an eccentric French shop keeper turned documentary maker attempted to locate and befriend Banksy, only to have the artist turn the camera back on him.
Banksy said: "It's the story of how one man set out to film the un-filmable. And failed".
The film contains exclusive footage of Banksy, and many of the world's most infamous graffiti artists at work.
But until the film is shown, it is not known whether Banksy's identity will be revealed.
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