The police helicopter was scrambled to scour the river in Bedford after woman was reported to have jumped in.
A passerby called the emergency services after they saw the woman threatening to jump from the bridge in Prebend Street into the River Great Ouse.
According to police, the witness said she went in, with her bag.
The fire crews, using a boat, are carrying out a search and rescue operation, while paramedics are attending the scene with an ambulance.
The area around the river is cordoned off as the search continues.