The soldiers have been identified as being among 1,500 Chadian troops serving with Minusma, which took over security duties in the country in July.
The UN says it wants Chad to investigate the incident and take disciplinary action against the men.
Residents told the BBC that several women were raped by the soldiers in the northern city of Gao last Thursday.
In January, French forces led an operation involving Malian and West African troops to oust Islamist militants from the north.
A 12,600-strong United Nations peace force is currently deploying to the West African nation, as France withdraws its troops.
The assault is believed to have happened last Thursday in Gao, which was in the area seized by militants following a coup in March 2012.
The woman is thought to have come forward seeking medical help from the UN immediately after the attack. This triggered the UN force to launch an investigation.
The BBC's Alex Duval Smith in Bamako says it is not known exactly how many Chadians were involved, but the victim identified four soldiers as having assaulted her.
At the time, 165 Chadian soldiers had just arrived in Gao, our correspondent adds.
They had defied the orders of their superiors and left their base in Tessalit, in the remote far north, after a dispute over pay and conditions.
Residents told the BBC they were scared by the presence of the Chadian soldiers, who were armed and arrived in Gao in 40 vehicles and stayed for several days without a place to sleep.
They allege that several women were raped by a group of Chadian soldiers in a room adjoining a bar in the city centre. Only one woman has come forward to report an assault.
A Minusma spokesman in Bamako said it was for the Chadian authorities to decide on what disciplinary action they should take against the men.
He said the victim would be offered medical, psychological and legal support but not financial compensation.
The Chadians are part of a force of 6,000 African troops serving under in Minusma peacekeeping force.
At least four UN peacekeepers have been involved in the sexual assault of a woman in Mali, according to the UN.