The complaint against Corey Wingard was lodged by Sport SA chief executive Leah Cassidy in relation to the minister's conduct on two occasions.

Premier Steven Marshall has referred the matter to the Commissioner for Public Sector Employment for investigation.

Mr Marshall has confirmed he received the complaint but declined to comment directly on the matter.

He says it's important to have the inquiry before determining what action the government may take.

"We take any allegation seriously and so we've referred it on promptly," the premier told reporters on Thursday.

"If there is reason to take any further action, I will have no hesitation in doing so."

Mr Marshall said he had not spoken with Mr Wingard over the matter.

But the Labor opposition said the minister must stand aside while the investigation was under way.

"This allegation is very concerning, and any investigation must be treated incredibly seriously," Labor frontbencher Tom Koutsantonis said.

"This is a minister of the Crown who is clearly out of his depth on a wide range of issues, and now he is allegedly treating grassroots sports very poorly."

Australian Associated Press