Police were called after O'Connor "left the Wilmette area" for a bicycle ride at 0600 local time on Sunday, and had not returned after more than a day.
No more information is currently available, police say.
O'Connor became a global star in 1990 with the worldwide hit Nothing Compares 2 U, a song written by Prince.
She has recorded 10 solo albums but has also made headlines with controversial outbursts throughout her career.
In 1992, she ripped apart a photo of Pope John Paul II during a live television broadcast and has been a strong critic of the Catholic Church over its handling of the child abuse scandal.
She said in 2012 that she had suffered a "very serious breakdown" when she cancelled a world tour.
And last week she was in the news again after alleging US comedian Arsenio Hall had supplied drugs to Prince, who died last month.
He strenuously denied the allegation and said he was suing the Dublin-born, mother-of four.