Catherine Ashton visited Mr Morsi on Monday evening and held two hours of "in-depth" discussions with him.
The location of the meeting was not given, but Mr Morsi has been detained since he was overthrown by the military on 3 July after days of mass protests.
Baroness Ashton's visit comes after more than 70 Morsi supporters were killed in clashes with security forces.
The ousted leader's allies have said they are planning a major protest in Cairo on Tuesday, and the interim government has warned that any violation of the law will be dealt with "firmly".
Security officials have also threatened to dismantle the main protest sit-in at a square near the Rabaa al-Adawiya mosque in the capital's north-east, where the deadly clashes erupted on Saturday.
Baroness Ashton's spokeswoman Maja Kocijancic revealed on Twitter early on Tuesday that the EU's high representative for foreign affairs had become the first outside official to meet Mr Morsi since he was deposed.
Baroness Ashton had asked to see him earlier this month during her first visit to Cairo in the present crisis, but it did not happen.
Some reports said that she was taken to the meeting on Monday night by military helicopter, suggesting that Mr Morsi may be being held somewhere outside the capital.
The content of the discussions is not yet known.
The BBC's Jim Muir in Cairo says people will want to know if it revealed any flexibility that might create some common ground to explore, in search of a way out of this explosive crisis.
On the face of it, there is little room for manoeuvre, our correspondent adds.
The Brotherhood and its allies in the Anti-Coup National Alliance insist that Mr Morsi must be restored to the presidency, and that they will continue their protests until that happens.
The interim presidency has said clearly that the hands of the clock cannot be turned back.
Baroness Ashton also met the head of Egypt's armed forces, Gen Abdul Fattah al-Sisi, and government ministers on Monday.
She did not speak to reporters afterwards, but before arriving in the country on Sunday said she would be calling for a "fully inclusive transition process, taking in all political groups, including the Muslim Brotherhood", the Islamist movement to which Mr Morsi belongs.
Egypt's interim Vice-President, Mohamed ElBaradei, told Baroness Ashton that the government was doing all it could "to reach a peaceful exit to the current crisis", according to Ahram Online.
He also reportedly stressed that any solution would have to be in accordance with the law and not pose a threat to national security.
A US state department spokeswoman said Secretary of State John Kerry had told Baroness Ashton by telephone that he fully supported and appreciated "her efforts to calm tensions, prevent further violence, bridge political divides, and help lay the basis for a peaceful, inclusive process"
