The pair met with 20 South American clubs and a group of Uruguayan lawyers to demand change in the way football is administered.
"We have seen, with astonishment and great sadness, that football is for just a few," Maradona told reporters after a meeting of the group in Sao Paulo on Wednesday night.
"It doesn't belong to the clubs, the supporters or the players. So we are going to form a commission to unmask these people who do so much harm to the game.
"It's very serious, but thanks to all of us who are not afraid of those people ... we are here so that we can have a more transparent football," he added.
Romario described CONMEBOL as worse than the Brazilian Football Confederation (CBF), which he has frequently criticised.
"The situation is really much more serious than we imagined," he said. "What has been presented here is one of the biggest disgraces that I have seen. I couldn't imagine that there was an institution which ... did so much harm to the sport.
"We have to get more people together. The clubs, the ex-players and the current players have to take the fight to CONMEBOL. It's a movement for transparency and dignity in football.
"With this commission that we are going to form, we are going to see what has happened to all this money."
Nicolas Leoz, a former FIFA executive committee member, quit as CONMEBOL president at the age of 84 in April, citing ill-health. One week later, a report by FIFA's ethics commission said that he had taken bribes for ISL, FIFA's former marketing partner which went bankrupt in 2001.
He was replaced by his vice-president, 81-year-old Eugenio Figueredo of Uruguay.
CONMEBOL spokesman Nestor Benitez said he had no comment on the accusations.
"Everyone has the right to their opinion, football is generous and is an open field for all opinions," he told Reuters in Paraguay, where the confederation is based.