The venue will be located within the University of Leicester and will have a capacity for 1,450 people.
Two additional venues will also open on site, the 500 capacity O2 Academy2 Leicester, and the 250 capacity O2 Academy3 Leicester.
The investment is part of the university's £1 billion redevelopment.
"Students now choose where to study based on the social and cultural aspects of a town or city, as well as the university's academic reputation, and it is a positive step to introduce the O2 Academy brand to Leicester in partnership with the Students' Union," said AMG chief executive officer John Northcote.
AMG shareholders include Live Nation, SJM Concerts and Metropolis Music.
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