Sony said that the new handheld will have a backlit screen (like the GameBoy Advance SP) that can show DVD quality images.
They've not said how much it will cost yet, or exactly when they are expecting it to be on sale in shops.
Expected at the show in Los Angeles this year are big games like Halo 2, Gran Turismo 4, Mario Kart Double Dash and The Legend of Zelda: Four Swords.