She was in the water near the steps below Garrison Square and threatening to jump in when the alarm was raised on Saturday evening.
Two PCSOs Adrian Clark and Kerry Jones dashed to help. The woman resisted their attempts to pull her out, but the pair were able to keep hold of her until two PCs Hayley Hart and Charlotte Brown arrived, along with a member of the public, Richard Welby.
The woman was pulled from the water and taken to hospital for treatment. She has been given support by mental health porfessionals.
Chief Superintendent Christine Wilson said they would be seeking official recognition for Mr Welby's bravery.
She said: “The bravery shown by everyone in this incident was outstanding and undoubtedly without their intervention the woman involved could have died. Mr Welby, who was out with his partner, showed incredible courage in the support of the police and we are incredibly grateful for his assistance.
“I would also like to take the moment to highlight the commitment and dedication of all our people. At the start of their shift they never know what they will face, whether it is responding to low level community concerns, serious crime or responding to an emergency where a life is in danger. As a senior manager, I am proud every day of the people who work for Humberside Police and their amazing commitment. Even after this incident, those involved shrugged off their heroics as being just part of the job."