The move Wednesday gives the 44-year-old former San Antonio mayor an early start to what's shaping up as a crowded Democratic field without a clear front-runner to challenge President Donald Trump.
Castro indicated in an AP interview that his mind was all but made up.
"I know where I'm leaning, for sure," said Castro, who has said for weeks that it was likely he would seek the nomination.
An exploratory committee usually is a formality before a candidate launches a presidential campaign. It legally allows potential candidates to begin raising money.
But just as important for Castro, the step gives him an early jump on bigger name Democrats who are considering running but are taking a slower approach.
No potential contender is more ascendant than outgoing Rep. Beto O'Rourke, who lost last month in a surprisingly close race against Sen. Ted Cruz, R-Texas. O'Rourke has excited donors and activists who are now prodding him to seek the presidency.
Sens. Elizabeth Warren of Massachusetts and Cory Booker of New Jersey, along with former Vice President Joe Biden, are also potential candidates.
Castro would be among the youngest candidates in the field and the most prominent Latino. He played down the attention that others are generating and pointed to past election cycles in which early favorites ended up faltering.
"People might say right now, 'Well, hey, you're way down here in polling that's taken.' The most dangerous place to be right now is actually in the pole position," Castro said. "It doesn't bother me that in December of 2018 I'm not right up at the top of the list. If I decide to run, it would be because I believe I have a compelling message and I'm going to work hard and get to the voters and I believe I can be successful."
Castro, who attended O'Rourke's election-night party in El Paso last month, said O'Rourke doesn't complicate his own chances.
"He's talented. He ran a good race against Ted Cruz," Castro said. "I'll let him talk about his future."
Castro said he has not spoken to former President Barack Obama about his potential candidacy but plans on consulting Democratic leaders. Obama has spoken to O'Rourke, who has said he won't make a decision on 2020 until after leaving Congress in January.
Obama picked Castro to take over the Department of Housing and Urban Development in 2014. Two years later, Castro was on the short list of Democratic presidential nominee Hillary Clinton's potential running mates.
For Castro, running for president would fulfill a destiny that Democrats have projected since he was elected San Antonio mayor at 34, followed by his star-making turn as the keynote speaker at the Democratic National Convention in 2012.
He is the grandson of a Mexican immigrant and son of a Latina activist. His twin brother, Joaquin Castro, is a Democratic congressman from Texas. Julian Castro said the Latino community has been treated "like a pinata" under Trump and deserved a candidate in the field.
"I'm also very mindful, especially now for the Latino community, that there's a particular meaning to my candidacy," Castro said. "We can't go through the 2020 cycle with nobody on that stage because of what's happened over the last couple of years."
Young and telegenic, Castro rose to national prominence early in his career as a Latino leader from a state that Democrats are eager to retake after decades of Republican dominance. But in Texas, O'Rourke has eclipsed Castro after getting closer to a statewide victory than any Democrat in a generation. It now puts Texas in the formerly unthinkable position of having two Democratic presidential candidates in the same year.
The last Texas Democrat to run for president was Sen. Lloyd Bentsen, who had a short-lived campaign in 1976.
Maryland Rep. John Delaney is the only declared 2020 Democratic presidential candidate so far. Others are expected to announce their intentions in the coming weeks.