The 23-year-old hurdler alleged on social media early Thursday that she was sexually assaulted about 10 years ago by her then coach.
Saying that she is joining the #MeToo campaign against sexual abuse, the athlete hoped her revelation could bring more public attention to the issue of child sex abuse and encourage other victims to step forward.
The complaint drew wide attention in the Hong Kong society.
Lam said on Thursday afternoon that she has personally spoken to Police Commissioner Stephen Lo about following up on the athlete's claim.
Speaking on the sidelines of an event, Lam praised the athlete for her courage in making public her alleged ordeal.
The police went to the local middle school where the girl studied at the time of the alleged incident Thursday afternoon to investigate the case, local radio RTHK reported.
Several local sports organizations, including the Sports Federation and Olympic Committee of Hong Kong, condemned the alleged sexual abuse in their statements and vowed "zero tolerance" for such cases.