Maricopa County Sheriff's Deputy Joaquin Enriquez told KNVX-TV, Phoenix, Castillo's body was recovered from Lake Bartlett early Monday after a search of several hours.
Crews responded to the lake after receiving a call from a friend who was with 44-year-old ex-hurler on a pontoon boat. Enriquez said Castillo left the boat to go for a swim but didn't resurface.
Castillo, who had a career 82-104 record with a 4.56 ERA over 13 major-league seasons, had two daughters.
His family issued a statement calling him "a wonderful son, terrific brother and an extraordinary father to his two beautiful girls.
"Everyone who knew Frank loved Frank, we are devastated by this loss."
Castillo, drafted by the Cubs in 1987, spent seven years with the squad starting in 1991, later pitching for the Colorado Rockies, Detroit Tigers, Toronto Blue Jays, Boston Red Sox and Florida Marlins.
The El Paso, Texas, native was a member of Boston's 2004 World Series-winning team.