The water rescue happened around 4:22 p.m. in the 4500 block of North Simonds Drive at Montrose Harbor in Uptown, Chicago police said.
A 42-year-old man jumped into the water and did not come back up, police said.
CPD's marine unit responded to the scene and rescued the person from the lake. He was taken to a hospital in critical condition, and he was later pronounced dead.
The man's name has not yet been released.
The incident prompted a large police presence at the harbor during a crowded afternoon at the beach, with many people witnessing the emergency response.
"It's really sad right I guess I wonder how he got in there and what unfortunate circumstances led to him being pulled out," said Steele Goldman, a Chicago resident who was at the scene.
Safety officials are urging people near the lake to use caution and always wear a life jacket around harbor areas.
No further information was immediately available.