Peter Madsen, owner of the UC3 Nautilus submarine, who was on board the vessel when it was found, told the Danish military that the woman disembarked the vessel at Refshaleøen in Copenhagen on Thursday evening, reports broadcaster TV2.
An eight-hour search for the submarine was called off earlier on Friday, after it was located in Køge Bay.
But a Swedish woman who was thought to have been on board the submarine is still yet to be located, Swedish police then informed TV2.
The submarine was reported missing at 2:30am on Friday.
According to Denmark's military command centre (Forsvarets Operationscenter) the alarm that the craft was missing was raised by the partner of the Swedish woman, who is a journalist.
After the sub was found, Madsen alone was brought to shore on board a private boat, according to TV2's report.
He then reported that the woman had left the vessel on Thursday evening.
Deputy inspector Jens Møller of Copenhagen Police confirmed that divers would inspect the wreckage of the submarine on Friday afternoon, reports the Ritzau news agency.
Police have no further information at the time of writing.
The submarine sank shortly after being spotted in Køge Bay.
The vessel sank due to technical problems with a ballast tank, Madsen, who designed and built the boat along with fellow submarine enthusiasts, said according to Ritzau.
A file photo of the UC3 Nautilus. Photo: Bardue Eklund/Scanpix