A mayday call was made at about 05:00 BST from the Pegotty, a motor cruiser taking on water just north of Grimsby dock, the Humber coastguard said.
A pilot vessel from Grimsby took two people off the boat, which sank about 25 minutes after the emergency call.
The Humber and Cleethorpes RNLI lifeboats were also launched.
The pilot vessel, Venus, and the two lifeboats returned to Grimsby after the rescue.
"The casualties were checked over and found to require no medical attention", said the RNLI.
Daniel Cooper, Cleethorpes RNLI Lifeboat operations manager, said: "Our volunteer crew managed to respond very quickly and launched the lifeboat within six minutes of the request for their assistance."
The Marine Accident Investigation Branch has been informed.

The 32-year-old has stepped up his rehabilitation after tearing his anterior cruciate ligament in October.
And he told Rangers TV: "It is going quite well and I am doing fitness work outside now on the pitch and I'm doing a lot of gym work.
"Come May, hopefully I can join in with the lads and do a full session, but the goal is to be fit for next season."
The Croatia international joined Rangers from New York Cosmos in the summer and was beginning to find form when injury struck.
"It happened in training, my foot got stuck while I was doing a dribble and I went over on my knee and unfortunately ruptured the ACL," added Kranjcar, who scored three goals before being sidelined.
"You have to be patient with these injuries and I think it is really important to have it 100% before I start doing any harder work."
The former QPR, Dynamo Kiev, Tottenham and Portsmouth star revealed the injury lay-off has made for one of the most difficult periods of his career.
"The recovery process has been a nightmare," Kranjcar said. "This is definitely the worst injury I have ever had, the longest I had been out before was probably two months and this is between six and nine months.
"It is a long road and it is quite lonely. It has its ups and downs, the easiest thing to do is always to give up but once you do start doing your rehab I think there is always a voice in your head telling you to get through it.
"Obviously there are days when you watch a game of football and you're not involved so it is hard and you just wish you could play.
"I have great support at home from my missus and from my whole family and all my friends. I have been in football ages now and that helps.
"I am happy that I got injured? Of course not, it is frustrating, it is hard but I do have a motivation to come back as good as I was before the injury so I guess that is something which keeps me going."

Singer Trevor Grills, 54, and tour manager Paul McMullen, 44, died after being hit by a falling metal door at G Live in Guildford on 9 February 2013.
David Naylor, 56, from Bridgnorth in Shropshire, is facing two counts of manslaughter by gross negligence.
He appeared at Guildford Crown Court and is due stand trial in September.
His lawyer have indicated he would enter not guilty pleas when he next appears at the same court on 11 March.
The company which manufactured the doors involved in the incident has been summonsed for breaches of duty imposed by the Health and Safety at Work Act.
Express Hi-Fold Doors Limited, of which Mr Naylor is a director, is accused of failing to ensure equipment was safe.
Mr Grills, from Port Isaac in Cornwall, and Mr McMullen, from Disley in Cheshire, were at the venue ahead of a performance due to be staged by the 10-piece group.
Two people have been rescued from a sinking boat in the Humber estuary after a collision with another vessel in the fog.
[NEXT_CONCEPT]
Rangers midfielder Niko Kranjcar hopes to fully recover from a knee injury in time for the start of next season.
[NEXT_CONCEPT]
A man charged over the deaths of two members of the Cornish shanty group Fisherman's Friends has appeared in court.