Wilmette police confirmed O'Connor went on a bike ride Sunday at 6 a.m. and did not return. She was reported located around 1:45 p.m. Monday.
A caller to Wilmette police asked for authorities to check on O'Connor's well-being check after she failed to return.
Police refused to release any further information.
Two hours after O'Connor went on her bike ride, her official Facebook page had a post added to it aimed at her oldest son:
It's unclear what the post exactly means.
Wilmette officers headed to a home on Woodbine Avenue around 1 p.m. Sunday, responding to that call. It's the home of former Smashing Pumpkins drummer Matt Walker.
On a dispatch recording, a police officer asks dispatch to find out from the initial caller if O'Connor may have used an alias, followed by a description at about 1:45 p.m. Sunday.
Police sounded concerned about her mental state Sunday afternoon, characterizing O'Connor as "suicidal" in a dispatch recording at 2:11 p.m. Sunday, describing her as suffering from depression and PTSD, saying the 49-year-old had previously attempted suicide in a hotel.
Sources tell ABC7 O'Connor has been living with friends in the suburbs for months, and that she was found fewer than 10 miles from where she disappeared.
O'Connor performed with Buddy Guy in January. O'Connor was also at Metro Chicago on the North Side March 4 for a David Bowie tribute concert.
Earlier this month, Arsenio Hall filed a $5 million defamation lawsuit against O'Connor for claiming that the comedian supplied drugs to Prince.
The lawsuit calls O'Connor's accusations "despicable, fabricated lies" and adds that "O'Connor is now known perhaps as much for her bizarre, unhinged Internet rants as for her music."
O'Connor, whose biggest hit was a 1990 reworking of the Prince song "Nothing Compares 2 U," posted on her Facebook page about a week after Prince's death that he was a "long time hard drug user."
"Two words for the DEA investigating where prince got his drugs over the decades.... Arsenio Hall," O'Connor posted on May 2.
She added: "Arsenio I've reported you to the Carver County Sherrif's office. Expect their call. They are aware you spiked me years ago at Eddie murphy's house."
Hall's suit filed in Los Angeles Superior Court said he had "minimal contact" with O'Connor, last seeing her 25 years ago. He said he never supplied illegal drugs to Prince and did not spike O'Connor with drugs either.
The lawsuit also claims that O'Connor only met Prince a few times and "detested" him and "spat on him quite a bit," so was in no position to know about anyone supplying drugs to him.