Mr Prodi said the commission must establish the truth not only about European soldiers, but also about the civilians living in affected areas.
Italy on Wednesday became the latest European country to ask Nato to investigate the so-called Balkan syndrome, after a sixth Italian soldier died of leukaemia.
France, which has revealed that four soldiers are being treated for leukaemia, has also added its voice to requests from Portugal and Belgium for an inquiry.
Five soldiers have died in Belgium and one in Portugal.
Nato help
The Czech army health service also said on Thursday that it was investigating the death of a helicopter pilot from a blood disorder.
Mr Prodi said the commission must establish the truth not only about European soldiers, but also about the civilians living in affected areas.
He said: "I will propose immediate contacts be made with the governments of Bosnia and Serbia, to discuss with them the pollution and the problems linked to the depleted uranium."
The Italian defence ministry has acknowledged that no link had so far been found between depleted uranium munitions and the deaths of the six Italians, but said it had nevertheless urged Nato to stop using the projectiles.
Nato spokesman Mark Laity told the BBC on Thursday that the alliance would not launch an investigation itself, but would provide any information requested.
"Nato's position is that we are going to help the Italians in every way we can," he said.
"They have asked for information and we are now trying to find it."
No guidelines
Italian politicians have claimed that US troops went to the Balkans fully briefed on how to protect themselves in areas where DU weapons had been used, whereas Italian soldiers did not.
"Guidelines were issued to some people, but when they were issued, who they were issued to, and what they were is I think one of the things that is going to be sorted out," Mr Laity said.
He said Nato was also co-operating with studies by the United Nations Environment Programme into possible environmental contamination, but would be surprised if it they suggested there was a major environmental hazard.
The alliance's North Atlantic Council and its political committee are going to discuss the problem in the next few days.
Last week, Belgian Defence Minister Andre Flahaut called on all European Union defence ministers to examine the issue.
Gulf War syndrome
Finland and Spain have already begun looking into the matter.
The French defence minister, Alain Richard, on Thursday called on the United States to be more open about the matter, but said that there was no reason at the moment for the weapons to be withdrawn.
Nato has acknowledged that it did use some DU weapons in the Kosovo conflict, though little more than half the quantity the Belgrade authorities say were fired.
Depleted uranium is a heavy substance, 1.7 times as dense as lead, and used in armour-piercing munitions.
Many Gulf War veterans believe it is implicated in a range of medical problems they are suffering from, known collectively as Gulf War Syndrome.
Because of its ability to punch through armour, DU is prized as a highly effective anti-tank weapon.
In its natural state, it is only mildly radioactive, but on impact with a solid object it turns into a burning vapour.
The US Defence Department and the UK Ministry of Defence accept that the resulting dust can be dangerous, and say troops entering vehicles hit by DU weapons need to take precautions.