The new federation will provisionally be called the International Baseball and Softball Federation.
The International Olympic Committee dropped the two sports from the Games programme in a 2005 vote, making them the first sports to be axed in almost 70 years.
Baseball and softball last appeared in a Games at the Beijing Olympics in 2008.
"We feel if we can work together it might be much more possible to regain Olympic status," International Softball Federation President Don Porter told Reuters.
"Both our sports are trying to find things that will improve them. Become more attractive and interesting."
Baseball's president, Italian Riccardo Fraccari said: "We decided to join into one federation.
"There has been unanimity in this. At our congress in Dallas there was unanimity.
"All professional groups are participating in this. The decision by the IOC to take us off the Olympic Programme obviously disappointed us but we learned a lot. We looked into the reasons why and we addressed them."