First aid trained staff were on the scene immediately and paramedics also attended within minutes but she was pronounced dead at the scene.
Officers are working to establish the circumstances but the death is not being treated as suspicious, City of London Police said.
St Paul's Cathedral, which was closed after the incident, said it was "deeply saddened" by the woman's death.
It said in a statement: "Although robust procedures for emergency situations are in place at St Paul's, and today's response bore that out, it does not lessen the shock we feel as a close community, especially for those of us who witnessed and responded to this incident.
"We hold also in our thoughts those visitors within the cathedral at the time.
"We think and pray especially at this time for the woman who died, and for all those who were close to her and who loved and cared for her."
The cathedral will open as normal on Thursday.