The attack is alleged to have happened after Nelly's show at the Cliffs Pavilion, Southend on 5 December.
An Essex Police spokesman said the force had started an investigation after a woman reported she had been "sexually assaulted".
He said: "Enquiries are ongoing." Nelly has denied the allegations.
Last month, the BBC reported Essex Police wanted to obtain a report from the unnamed woman after allegations of an assault were made in the US media.
