Oak Park police said they received a call about a bomb at Fenwick around 10:19 a.m. Monday.
In a statement on the Fenwick High School website, Principal Peter Groom said the school building was evacuated so that a "thorough investigation" could occur.
"All students, faculty and staff are currently safe and away from the building, and there is no immediate threat to their wellbeing," Groom wrote.
Oak Park police said the Cook County Sheriff's Department and Chicago Police Department sent personnel with dogs to search the school.
As police searched the premises with bomb-detecting dogs, school officials said students congregated at Ascension Church, a few blocks south of the school.
Oak Park police said no bomb was found. After the search was completed, students were allowed to return to class around 12:45 p.m.