According to the media outlet, citing sources, the victim was identified as Saoirse Kennedy Hill, 22. She was the daughter of Courtney Kennedy Hill. She was at the compound, where her grandmother, Ethel Kennedy, lives. Emergency-responders were reportedly called on Thursday afternoon, The New York Times said.
Meanwhile, local authorities issued a statement confirming a death at the property but did not disclose the identity of the deceased.
Saoirse reportedly suffered from depression, The New York Times said.
"Our hearts are shattered by the loss of our beloved Saoirse [...] Her life was filled with hope, promise, and love", the Kennedy family said in a statement released to the Times.
The Kennedy compound on Cape Cod was the summer residence of the famous 20th century political heavyweight Kennedy family. The venue was also a base of operations for the presidential campaign of John F. Kennedy in 1960 and later served as a summer White House.
President Kennedy and his brother Senator Robert F. Kennedy were both slain by assassins.