It said there was no suggestion boys were present or that drugs were involved, but claimed that a pupil said the incident came after the students had been drinking.
The young royal is sixth in line to the throne and is sitting exams in art, history of art and English at the £23,000-a-year college.
Marlborough College, Wiltshire, where Princess Eugenie got up to 'high jinks' at the end of term
Her last formal engagement saw the Princess give a reading at the wedding of her cousin Peter Phillips - the Queen's eldest grandson - to Canadian Autumn Kelly in May.
She is likely to be among the guests who will gather on the balcony of Buckingham Palace after today's Trooping the Colour ceremony, which marks the Queen's official birthday.
Eugenie will also be attending Ascot next week for the first time with her sister, and is expected to return to Marlborough a few days later.
A spokesman for the Princess made no comment about the claims.