Chicago police said Marine Unit officers responded to a call about a person in the water near Monroe Harbor around 8:30 p.m.
There, officers found an unresponsive woman in the lake and recovered her.
The Chicago Fire Department said the woman was rushed to Northwestern Hospital, where she was pronounced dead. Her name was not immediately released.
How the woman ended up in the water was not immediately clear, and Area Three detectives are investigating the circumstances surrounding her death.
Authorities did not immediately provide additional information.