The incident occurred around 6:40 a.m., Friday, Nov. 24 closest to the Rockland County side.
According to Trooper AJ Hicks of the New York State Police, the man left his vehicle and walked up the bridge and jumped.
Westchester County Marine Patrol responded along with the State Police Marine Unit to search for the victim.
Hicks said the man's body has not been recovered as of Monday, Nov. 27.
The man has not been identified.
This is a developing story. Check back to the Daily Voice for updates.
Click here to follow Daily Voice Pelham and receive free news updates.