All four of them became stranded in Lake Michigan after they jumped off their sailboat and it floated away some time between 1 a.m. and 1:30 a.m. The two women were rescued by Good Samaritans.
The body of 21-year-old James Shepherd was found by the Coast Guard. Shepherd is said to have been an experienced boater and swimmer. ABC7 is told the boat belonged to his grandfather.
The other man remains missing. The Coast Guard considers it a recovery operation at this point. Divers were expected to continue their search through Friday night.
Police are treating the boat, which was found near 63rd Street, as a crime scene.
"We're treating with the utmost caution right now. We don't want to say if there was anything we should be overly concerned with -- except for some bad judgment on their part," said Stan Kuprianczyk, officer and pilot.
Officials are focusing their search about half a mile off the shore. That's where the two women were rescued around 6:45 a.m.
"I noticed a woman. She was moving around. I looked for a buoy and thought maybe she was diving, out swimming. We didn't see anything. We stopped and pulled her out. She said there were three more people in the water," said Bill Durand, who was fishing.
The rescuers said they found the first woman a mile off the harbor. The second woman was found about 300 yards south of there. The rescuers said both women were struggling to stay afloat in the water. They had been treading water for four hours. The water temperature was 65 degrees.
"They had mild hypothermia. They were coherent, stable though. So they did a good job," said Dr. Chad Wasson, fisherman.
"I'm glad we found the other one. We looked around and found her there. Glad to help," said Frank Zanocco, fisherman.
"From what I understand, one of the survivors was not a very good swimmer, but apparently her will to survive outweighed Mother Nature," said Chicago police Sgt. Jim Van Vranken.
The women were taken to Burnham Harbor and then to the hospital. They are in good condition despite spending hours in the 65-degree water.
The missing man has not been identified.
None of the four swimmers was wearing a life jacket.