Col. Joel Roy, commander of 17 Wing in Winnipeg, told a news conference the investigation will look into how it happened and how to prevent it from happening again.
The inquiry is expected to take about six months.
The body of Sgt. Mark Salesse, 44, was recovered on Wednesday.
A week earlier, he had been swept off a narrow ledge on the Polar Circus ice-climbing route in Banff National Park during an avalanche.
He wasn't wearing an avalanche transceiver, a device that allows rescuers to hone in on a signal and locate buried victims.
Colleagues say the New Brunswick native was the strongest climber on his squadron of more than 200 search and rescue technicians.
“Our training is challenging and realistic so that the SAR crew maintains a high degree of operational effectiveness," says Roy. "The risk it involves is not typical of other peacetime missions… The training is difficult because the mission requires it to be."
Salesse joined the Canadian military at 18 and served in various regions across Canada as well as overseas missions in Africa and Bosnia.
He earned his paramedic qualifications, as well as his certification in diving, and rock, ice and snow climbing. He also learned how to parachute out of a plane onto treacherous terrain.
He had a close call back in 2011, shattering his pelvis during another training fall in Colorado.
Lt.-Col. Brent Andrews says Salesse had an intimidating presence and quickly earned the respect of his colleagues.
“He was a large person — six-foot-five, I believe," Andrews says. "But he had a friendly demeanour. He was a very patient man, always taking the time to answer peoples’ questions.
"Other members would go to him for guidance and expertise. He also took those skills and participated a lot in community search and rescues. The man gave in every aspect that you could ask and he was a textbook sergeant."
Salesse had participated in 28 missions since 2012, rescuing people trapped on ice floes, parachuting down to injured patients in remote areas, and searching for missing people and missing planes.
Prime Minister Stephen Harper has said Salesse's fatal accident is a "stark reminder of the very real dangers that our brave men and women in uniform face daily to defend our country and keep Canadians safe."