"Deutsche Börse will file charges at the European Union court in Luxembourg," the company said in a statement, referring to the European Court of Justice, while adding that "several aspects of the decision" by the European Commission were "incorrect".
Last month the companies cancelled their mega-merger after European regulators vetoed their plan to create the world's largest exchange operator over concerns it would potentially dominate the global derivatives trade.
In the February decision, the European Commission said it had "no alternative" but to veto the transatlantic tie-up, billed as a merger but which would have left the German side dominant in the combined company.
The commission had expressed worries that the venture would have had monopolistic power in certain derivatives trading, but NYSE Euronext and Deutsche Börse refused recommendations to divest some of the business that the merger would have covered.
At the time of the veto, Deutsche Börse said the decision by Brussels showed the EU was "out of touch with reality" and NYSE Euronext said the veto was "based on a fundamentally different understanding of the derivatives market".
In pursuing the deal, the two had to fend off a competing $11.3 billion bid by the Nasdaq and ICE exchanges for NYSE Euronext, which they had said valued NYSE Euronext at nearly 20 percent more than the German suitor's valuation.
But that higher valued bid was ultimately scotched when US regulators signaled they would oppose it on anti-trust grounds.