Police removed the skinned carcass from the statue's hand Wednesday, but not before it was captured on video and viewed by thousands of people on YouTube, the Chicago Sun-Times reported Saturday.
The 14-second YouTube clip shows a sign around the statue's neck that says, "Go Cubs Go."
The carcass, which appeared to be from a butcher shop, may have failed to break the infamous Billy Goat curse with the Cubs 0-2 in the playoffs Saturday and on the edge of playoff elimination, the Sun-Times reported.
Previous pranksters have placed beer cans in the hand of the statue of Caray, a Hall of Fame sports broadcaster, but never a goat, said a friend of Caray's.
"He wouldn't have been happy at all," the friend said. "It's one thing to put a Budweiser can in his hands. Harry would have loved that. He needs to be cleansed now."
Chicago lore says the curse was put on the team at Game 4 of the 1945 World Series when a goat taken to a game by Billy Goat Tavern owner William Sianis was ejected from Wrigley Field.