The teenager's body landed on the pavement in front of The Dalton School on E. 89th St., according to police.
He appeared to have fallen from a window that was partially open on the school's 11th floor.
The teenager has not been identified but investigators said he was a student at the exclusive school, which was founded in 1919.
Detectives believe the student snuck into an empty dance studio on the school's 11th floor, opened the top part of the window and jumped, police sources said.
The school is in session this week and the body narrowly missed landing on several children who were playing on the sidewalk when the teen fell at 11:15 a.m., witnesses said.
"I heard a loud bang," said Dalton security guard Michael Brown, who was on the street when the body fell. "It sounded like a gunshot...he was just dead."
Brown said that E. 89th St. had been temporarily closed an hour before so a group of the school's fourth graders could play outside.
"The fourth graders were out here [and] everybody started running away from the body," Brown said.
"The teachers got them out of here pretty quickly. They were right there."
The school, which has 1,300 students in grades kindergarten through high school, did not have immediate comment.