According to social media, the incident was allegedly linked with the New Year’s Day Hunt.
In a statement, police said: “At 12.21pm on January 1, we received a report of an assault on a female, on Jubilee Way, Horncastle.
“It was alleged to have taken place at 10.50am on the same day.
“We continue to investigate this incident.”
Police did not reveal any further details.
Members of the South Wold Hunt met at Harrison’s Field, just off Jubilee Way for the traditional hunt.
Sources have told the News that anti-hunt campaigners were also in attendance.