The body of 44-year-old Willie Tom of Manhattan and 29-year-old Celine Fu of Brooklyn were both recovered near Coney Island on Friday afternoon.
Police say Tom was driving, made a sharp turn, and Fu fell off.
Tom turned around to get her, and when he jumped in the water, neither surfaced again.
The Coast Guard and harbor patrol searched well into the night, but called it off before midnight and resumed in the morning.
NYPD launched marine, aviation and land units, as well as divers to aid in the search. In addition, the Fire Department sent marine units and divers, and Coast Guard Station New York sent a rescue boat crew.
Michael Tom has been staring at the inlet where his older brother went missing since 3 a.m. Friday, hoping for a sign of life.
But as minutes stretched into hours, the police search for his brother became less of a rescue and more of a recovery mission.
"He loved the waters, he loved fishing, he loved everything outdoors," said Michael Tom.
During a festive 4th of July celebration, Tom and Lin were riding together on a jet ski near West 31st and Bayview Avenue when the accident happened.