Speaking at the London Government Dinner at The Mansion House tonight, Khan will call on London's political and business leaders to work with him on the plans.
The strategy will then be submitted to the Business, Energy and Industrial Strategy team.
BEIS is expected to published a green paper on its own plans for the capital within days.
Any proposals requiring legislation then likely to generate a further white paper for a more substantive consultation, although no timeline for this process has yet been set out.
The plan will target improving the city's competitiveness, and re-iterate the mayor's long-standing demands for more powers.
“Any industrial strategy that doesn’t work for London will by definition not work for Britain.”
He will add: “More control for London was important before the referendum, but in the light of Brexit and the economic uncertainty we now face – it’s become absolutely crucial.”
It comes after the mayor yesterday convened his business advisory group for the first time in a bid to consult with some of the capital's leading firms on the prospects for the city after Brexit.
Khan will also warn of a “muddled” Brexit, aping the language of former ambassador to the EU Ivan Rogers to warn: “the only thing that would be as damaging as a hard Brexit is a muddled Brexit.”
And he will call on London's business and political leaders to fight to retain the best possible access to European talent, as well as “priviliged” access to the Single Market.