We consider U(n+1) Yang-Mills instantons on the space Sigmatimes S^2, where Sigma is a compact Riemann surface of genus g. Using an SU(2)-equivariant dimensional reduction, we show that the U(n+1) instanton equations on Sigmatimes S^2 are equivalent to non-Abelian vortex equations on Sigma. Solutions to these equations are given by pairs (A,phi), where A is a gauge potential of the group U(n) and phi is a Higgs field in the fundamental representation of the group U(n). We briefly compare this model with other non-Abelian Higgs models considered recently. Afterwards we show that for g>1, when Sigmatimes S^2 becomes a gravitational instanton, the non-Abelian vortex equations are the compatibility conditions of two linear equations (Lax pair) and therefore the standard methods of integrable systems can be applied for constructing their solutions.