The former US president argues she has violated his constitutional rights by pursuing a politically-motivated probe.
Ms. James stated that the investigation will continue unabated.
In 2019, she opened a civil investigation into allegations that Mr Trump had, before he became president, inflated the worth of his assets for banks in order to obtain loans.
This lawsuit comes less than two weeks after Ms James suggested that Mr Trump might be subject to oath in the course of the inquiry.
Trump is also accused of hiding his assets in order to lower his taxes.
Ms. James’ office is looking for documents regarding four properties of the Trump Organization in Manhattan, Chicago, Los Angeles, and upstate New York.
Ms. James, a Democrat, said that in May her team had informed the Trump Organization that their investigation into the Organization was not purely civil.
Former president and Republican has described the inquiry to be a witch hunt.
Trump faces six legal challenges
Despite being under immense pressure, Donald Trump has resisted the temptation to release his tax returns throughout his presidency 2017-21.
Civil cases typically involve injury to individuals, businesses, or private parties. Criminal law is applicable in cases where the damage is believed to be widespread, including the state.