Police were called at around 5am today and have detained another man in connection with the incident.
Forensic officers attended the scene and an investigation is under way.
A Lothian and Borders Police spokesperson said: “We are carrying out inquiries following a report of a sexual assault in the Cowgate area of Edinburgh around 5am.
“The investigation is at an early stage, and a man has been detained in connection with the incident.”
Anyone with information is asked to contact police on 0131 311 3131 or through Crimestoppers 0800 555 111.