An area around the river bank in the city centre was cordoned off by crime scene investigators on Sunday following reports of the attack in the early hours of the morning.
The woman was assaulted near to the Brasserie Blanc restaurant at around 3am.
West Yorkshire Police launched an investigation and detectives are appealing for any information on the attack.
A spokesman for the force said: "At 03.07 on Sunday, December 15, police were called to reports of a serious sexual assault on a female that had occurred on the river bank near to the Brasserie Blanc restaurant in Leeds.
"Enquiries are currently ongoing and the victim is being supported by specially trained officers.
"Anyone with information should contact West Yorkshire Police on 101, quoting log number 262 of December 15, 2019."