The store will work much the same way as the PlayStation Store for the PS3, allowing owners of the PSP to buy and download a range of content.
SCEA president Jack Tretton announced the store at the company's Gamers Day in the US this week.
"The advent of a long-awaited and quite frankly long overdue ability to deliver a downloadable service for the PSP will help us out a great deal. Hopefully we will have it out there by the fall," he said.
Sony also previewed more than 30 games for the PS3 this week, along with a full library of games and services for the PSP.
"We are seeing a huge influx of games coming to all our PlayStation platforms in the remainder of our fiscal year," said Tretton.
"More than half of the games we showed during our media event are available only on our systems. This fiscal year, from SCEA alone, users can expect more than 15 exclusive games and services for PS3, and another nine for PSP."
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