The avalanche was triggered around 11am as the 23-year-old and three others skied down an off-piste slope in the sprawling Quatre Vallées-Verbier ski area run by Téléverbier.
Rescuers found the woman trapped under the snow after she was carried by a sheet of snow 100 metres wide and 250 metres long that detached from the slope, rescue officials said.
The victim was equipped with an avalanche victim detector and an airbag but was unable to avoid being buried, officials said
Rescuers found her seriously injured.
She died at the Sion hospital after being transported there by one of two Air Glacier helicopters that responded to the accident, which occurred near an area known as the Col de La Mouche.
Patrollers from Téléverbier, rescue guides, doctors, and a dog avalanche team also arrived at the scene.
The woman's three other colleagues escaped injury.
“This morning I doubted that such a thing could happen,” Jean-Marie Bornet, Valais cantonal police spokesman told Swiss newspaper 20 Minutes.
With the advent of milder conditions following two days of heavy snow, police had already issued a public warning about the avalanche dangers in the region.
Eric Balet, director of Téléverbier, told 20 Minutes that staff had earlier that morning used explosives in high-risk zones to make them safer.
“We were surprised by the quantity of snow that came down,” Balet said.
The avalanche danger was rated dangerous in the region.
Skiers reportedly continued later in the day to test powder runs nearby despite the risk.