Supt Henry Jemmott, 42, was found on a pier in the town of San Pedro after reports of a gunshot.
Jasmine Hartin, partner of Andrew Ashcroft, was discovered nearby.
Police said she appeared to have blood on her clothes.
Billionaire Lord Ashcroft, former deputy chairman of the Conservative Party, lives in Belize but remains very active in UK politics.
He has represented Belize at the United Nations.
He is yet to make comment on the incident.
Belize police said Ms Hartin and Supt Jemmott were friends.
"From what we have been made to understand, they were drinking. From investigation, they were alone on the pier and yes, they were both fully clothed," Belize Police Commissioner Chester Williams said to reporters.
Father-of-five Supt Jemmott was found in the water with a bullet wound to the head.
A police firearm assigned to him was found at the pier, Mr Williams said.
Ms Hartin, who is in her late 30s, has refused to speak with police without a lawyer, the commissioner said.