Sony Music and Exposure have previously developed campaigns for several clients, including Playstation, Levi's, Samsung, Intel, Tommy Hilfiger and Nokia.
SBX will offer a complete service, from initial strategic planning and market research to creative work, content programming and fully integrated execution.
This includes a range of services such as artist endorsements, product placement in music videos, syncs for TV ads, sonic branding, digital content and web 2.0 marketing tools, artist concerts and live events, as well as music-oriented ad funded programming.
The agency will have preferred access to the Sony Music and Exposure network, however it will act independently and work with third party agencies and content providers.
Richard Story, chief operating officer of Sony Music Continental Europe, said: "SBX is a key pillar of our new business strategy.
"It delivers on our mission to transform Sony Music from a record label into a global music entertainment partner for our artists and brand clients."
Marcel Engh has been made managing director of SBX.
He said: "The benefit of the two teams' experience will allow SBX to create engaging and sustainable communications for its clients, developing valuable content and delivering truly integrated campaigns at a local and international level."
Raoul Shah, chief executive of Exposure, said: "Since the launch of Exposure in 1993, we have been developing brand communications campaigns that have linked cultural sectors like fashion, film, music and entertainment.
"The opportunity to create a specific business dedicated to brand entertainment in association with one of the world's most famous music entertainment companies is a privilege and an exciting prospect."
Sony Music has hundreds of artists on its books, including Britney Spears, Dido, the Foo Fighters, Alicia Keys, Mark Ronson and Kelly Rowland of Destiny's Child.
Exposure is a privately owned agency with offices in London, New York, Los Angeles and San Francisco.
The group operates eight different units each specialising in different marketing disciplines such as PR, events, brand collaborations, sales promotion, brand innovation, design, architecture and digital.