Lt. Brian Dykens said the U.S. Coast Guard was called to the scene around 8:30 a.m. after a 911 call reported a swimmer in distress. A woman's body was found just before 11 a.m. and transported to the Lake County Coroner's Office.
The victim's identity has not been released. Officials said she is between 35 and 45 years old.
The Coast Guard coordinated its search out of a Milwaukee command center, Dykens said, and a rescue helicopter was launched from an air station in Traverse City, Michigan.
Several other emergency agencies from surrounding communities also responded with dive teams and sonar equipment.
"I heard something like 20 other communities came. That's incredible. It's just incredible," Debby Henry said of the rescue effort. "I just think it's sad."
Officials said they found a woman's sweater and shoes on the shore near Forest Park Beach.
"I really feel bad for the family. Obviously, there's a loss and suffering ," Susan Russell said. "People come here to have a good time, to relax, enjoy themselves. So it's tragic."
"I'm surprised that someone would go for a swim this time of year. The lake is so cold this early in May that we rarely see people out in the water," Andrew Wells said.