The woman, from Valais, was skiing with three other skiers and a snowboarder at the resort in the Anniviers region, near Sierre, cantonal police said.
At around 3.45pm, they left patrolled ski runs in the Corne de Sorebois area of the resort at an altitude of 2,600 metres, police said in a statement.
In a couloir, the victim was swept away by a 500-metre long, 20-metre wide avalanche, according to the statement.
A rescue team, involving patrollers, two guides, a doctor and two Air Glacier helicopters was involved in a search for the woman.
She was found buried under snow.
Despite being equipped with an avalanche victim detector, the woman died.
The death follows the disappearance of another skier who was buried in an avalanche at the Saint Luc resort, also in the Anniviers region, on February 4th.
The man has not been found, according to the latest police reports.