Water polo coach Lilie James, 21, was found dead inside the gymnasium toilets at St Andrew's Cathedral School in the Sydney city centre just before midnight on Wednesday.
Investigators have been hunting for Thijssen, a 24-year-old sports coach at the elite private school, since Ms James was discovered with serious head injuries after concerns were raised for her welfare.
The pair had reportedly been in a relationship for a few weeks in the lead-up to the death.
On Friday morning, police were working to retrieve a body from the water at Vaucluse, in Sydney's eastern suburbs, after setting up a crime scene at the clifftop Diamond Bay Reserve.
Items linked to the killing of Lilie James were found at Diamond Bay Reserve.
Surf lifesavers on jet skis trawled the nearby shoreline while police rescue personnel abseiled down the sheer cliffs to reach the rocks below.
The body has not been confirmed as belonging to the 24-year-old, however detectives have previously said they were looking at the possibility Thijssen had taken his own life.
Items linked to the killing of Ms James were found on Thursday at the same reserve and police helicopters and boats spent that day patrolling the shoreline in choppy and blustery conditions.
Police have been talking to witnesses and also combing CCTV from the school to piece together the events that led up to the killing.
Superintendent Martin Fileman previously said officers were presented with a "confronting" scene when they arrived at the school due to the severity of Ms James' injuries.
Premier Chris Minns on Thursday described the young woman's killing as a "horrible crime".
"It's one of the worst that I've seen in my public life and I can only imagine what the family is going through right now," he said.
An evening prayer service for staff, students and families was held at the school that night as floral tributes to the young staff member were left outside the building.
The school has been closed to students until next week and counsellors made available to pupils and parents.
Thijssen graduated from the school in 2017 and worked there as an assistant sports coach, according to his Linkedin profile.
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