The 41-year-old woman and a 40-year-old man were hiking on the south side of the Matterhorn at around 6.30pm on Sunday when they were surprised by the storm, Valais police said in a statement.
The woman was fatally struck by lightning.
Her companion sounded the alarm, but due to the bad weather rescue workers could only reach the pair by helicopter some six hours later.
The woman was already dead when rescuers arrived. The man was flown to hospital in Visp.