Police said the Chicago Fire Department Marine Unit pulled her from the water just before 10:15 a.m. in the 4500-block of South DuSable Lake Shore Drive. That's near the Kenwood neighborhood.
The woman was transported to the University of Chicago Medical Center, where she was pronounced dead. Her name and age were not immediately released.
Area One detectives are conducting a death investigation pending autopsy results.
Authorities did not immediately provide further information.