The TV duo will now "have the power and money to approve television, movie and theatre projects, including a big-screen version of The Book Of Mormon" with the launch of Important Studios, reported the New York Times.
"Having worked with several different studios over the years, we came to realise that our favourite people in the world are ourselves," the pair said in a statement.
"We want to have a little control over our life. We used to walk into a studio and try to become an employee. We're done with that. We are too grown up for that," Matt added.
Profits from the South Park show and related products (films, soundtracks and merchandise) and the nine-time Tony Award-winning play, The Book Of Mormon, will go towards Important Studios.
The duo, who have worked on South Park for the past 16 years, are the latest TV personalities to form their own production company, following in the footsteps of Oprah Winfrey, American Idol host Ryan Seacrest and Merv Griffin.