The British actor will star opposite Nina Arianda in the play, which tells the story of an acting audition that turns into an erotic encounter.
Acclaimed writer David Ives penned Venus in Fur, while Tony Award winner Walter Bobbie has signed on to direct.
Dancy, who is married to Claire Danes, last starred on Broadway in Journey's End in 2007.
Venus in Fur will run from October 13 through December 18 at the Samuel J Friedman Theatre.
Dancy will next appear on-screen in Our Idiot Brother, which opens on August 26 in US cinemas.
> The Big C exec reveals Hugh Dancy storyline
> Danes wants to act with husband Dancy
Watch an Our Idiot Brother trailer below: