Emergency services were called to Westgate Bridge after reports that a woman had fallen into the bitterly cold water on Wednesday night.
Gloucestershire Royal Hospital said yesterday that MsDavies was brought into the accident and emergency department but was discharged without treatment.
Assistant Divisional Officer Simon McMillan, of Gloucestershire Fire Service, said: "She had been in the water for about 30 minutes and it was absolutely freezing. When we got her out she was extremely cold and unconscious."
Mr McMillan said the fire service launched two boats and were guided by thermal imaging equipment in a police helicopter. A police officer and a firefighter waded into the water to pull the woman out. The call was received at 11.30pm.
A spokeswoman for Gloucestershire Police said: "We received a call from a member of the public saying someone had fallen into the River Severn. A rescue operation was immediately launched. The woman was rescued from the river just south of the Westgate Bridge."
Fred West hanged himself in his cell while on remand in Winson Green jail, Birmingham, on New Year's Day 1995. A builder, he was accused of 12 murders.
Anne-Marie Davies' stepmother, Rose West, is serving life after she was found guilty at Winchester Crown Court of 10 murders in 1995. They included Mrs West's daughter, Heather, and stepdaughter Charmaine.Reuse content