An existing warehouse has been torn down to make way for the four-storey office building.
The new head office building will provide 100,000 sq ft of space and include flexible working spaces, a theatre-style conference centre and a staff restaurant and coffee shop.
Barnaby Kelham, CEO of UK & European Investments which owns the site, said: “We are delighted to welcome Volkswagen Financial Services to Delaware Drive and are pleased that construction is underway.
“This is an important regional redevelopment scheme that will bring a significant landmark building to Milton Keynes and further help the local economy prosper.
“We look forward to following the progress of the construction and seeing the vision of the new head office turn into reality.”