The Wisconsin State Journal reports the letter had a Madison postmark but no return address.
The family told the newspaper it contained a photo showing two men hanging from a tree, with a mob watching. A picture of the 18-year-old was superimposed onto one of the men.
Police say in a statement that they took the letter and its contents to the state crime lab for processing, and the FBI and U.S. Postal Service have been contacted.
Police say "this type of behavior will not be tolerated'' and those responsible will be prosecuted to the full extent of the law.
*Pictured above is Harry and Hester Hale.