It happened around 5:45 p.m. in the Upper Harbor by Governor's Island.
An NYPD police boat quickly responded and pulled the woman, said to be in her 30s, out of the water just seconds after she jumped in.
Witnesses say they believe the woman jumped in a suicide attempt.
The police boat took the woman to the Staten Island Ferry terminal in lower Manhattan to transfer her to NY Downtown Hospital.
She went into cardiac arrest and later was pronounced dead.