Shahzad, who is currently part of the team playing in Asia Cup, promptly reported the approach to the team management before the matter was raised with the International Cricket Council's anti-corruption unit, reported ESPNcricinfo on Monday.
"There was an approach made during the Asia Cup, but for their (Afghanistan's) own T20 league," an ICC official was quoted as saying by the website.
"The matter was reported through the right channels on Saturday and is being looked into by the anti-corruption unit," the official added.
Shazad is an integral part of the Afghanistan team, having played 75 ODIs, 65 T20s and the country's only Test which they played against India in June.
In an event here, ICC anti-corruption chief Alex Marshall, said that five international captains have been approached over the last 12 months with four of them from Test playing nations.
"There have been 32 investigations in the last 12 months, eight involve players as suspects. Five of them involve administrators or non-playing personnel. Three of these individuals have been charged. Five internationals captains have also reported receiving approaches to spot-fix," said Marshall.
Marshall explained how they go about their job amid the ever increasing risk of corruption in the game.
"We try to link up with the intelligence. We look at what we know about this event, are we providing anti-corruption cover, are we already there or is it being provided by another party? Are there any other strands of intelligence we have about that tournament. Is there anything about financial backers or the people surrounding the tournament are suspicious?
"We never launch off an investigation because something looks odd on the field or we get a single anonymous report. We get quite a lot of single, anonymous reports. We start putting the pieces together and there's sufficient reason to think on reasonable grounds to start investigating this, then we take it on.
"We do find a lot of corrupters who move between formats of international and domestic, because they're looking for the opportunity and vulnerability," Marshall added.