The grisly find was made by a member of the public at Tetney Lock at about 12.20pm on Thursday.
The area was cordoned off and officers from the Lincolnshire Police underwater search unit retrieved the parts at around lunchtime on Friday.
Further details are expected to be released shortly.
The force asked anyone who may have seen something suspicious in the area to come forward.
A spokeswoman for Humberside Police said: “Detectives from Humberside Police are assisting collegues from Lincolnshire in their investigation following the discovery of a body part in the Tetney area as it is so close to the Humberside border.
“With this in mind, anyone with information can contact either Lincolnshire Police on 0300 111 0300 or the Cleethorpes Major Incident Room on 01472 290204.”