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.
Two people have been rescued from a sinking boat in the Humber estuary after a collision with another vessel in the fog.