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Lee was accused of raping a then 20-year-old Irishwoman in the Hamptons in 2013 at his summer rental home.
For the past two weeks Lee has been on trial in Riverhead, New York.
He waived his right to a jury trial and appeared before a judge.
Lee was charged with rape in the first degree, sexual misconduct, and assault in the third degree.
The judge found Lee not guilty on all counts.
In August 2013, Lee and his friends were out celebrating his 37th birthday at Hampton's hot spot Georgica Restaurant & Lounge, where he met the Irishwoman and her friends.
Prosecutors said the alleged assault happened at Lee's summer rental home on Clover Leaf Lane, East Hampton.
An attorney for Lee had previously said that the sex was consensual.
Lee, who is married, was placed on leave by Goldman after his arrest.
At Goldman, Lee was a managing director in the equity capital markets group. He is no longer with the firm, Business Insider has learned.
Former Goldman Sachs banker Jason Lee accused of raping an Irish J-1 student arriving at court for the 2pm verdict pic.twitter.com/pq8rApd4dw
- Simon Carswell (@SiCarswell) April 29, 2015