The film is based on the memoir of Jordan Belfort, a hard-partying stockbroker who found himself embroiled in the corrupt corporate banking world of the 1990s.
Leonardo DiCaprio has signed on to play Belfort, while Pan Am actress Margot Robbie is in talks to play his wife in the film.
Oscar winner Jean Dujardin and Moneyball actor Jonah Hill are also set to star.
Bernthal, best known for playing Shane on The Walking Dead, will play a drug dealer and a money launderer, according to Deadline.
The 35-year-old actor is currently filming TNT's upcoming crime drama LA Noire.
The Wolf of Wall Street begins shooting this August in New York City.