The U.S. Coast Guard confirmed the two bodies were found near Sea Gate in Brooklyn.
They are believed to be those of Willy Tom, 44, and Celine Fu, 29, who fell from their jet skis Thursday evening, WCBS-AM, New York, reported.
Witnesses said Fu was riding with Tom on the jet ski when she fell off, and Tom immediately jumped into the water in an attempt to rescue her.
Coast Guard rescue boats and helicopters searched until just before midnight Thursday night for the pair, the New York Post said.
Police said the two were submerged in an area about 10 to 15 feet deep.
Coast Guard officials said neither Tom nor Fu was wearing a life jacket.