The authorities said the 35-year-old died instantly after falling 30 metres from a cable car tower on Sunday afternoon.
There was no indication she was the victim of a crime and the incident was currently being probed as suicide, the police said. One other person on the ground was slightly injured by the woman's fall.
"Witnesses have corroborated how the woman climbed over a barrier and then jumped," said police spokesman Carsten Andersen.
He said an autopsy this week will determine whether the woman was drunk or on drugs.
Festival organizers said safety regulations for the cable car had not been violated and all passengers had to pass three checkpoints before gaining access to a lift to the top of the tower. Anyone appearing to be under the influence of drugs was to be turned away.
Denmark's Roskilde Festival, which takes place some 30 kilometres outside Copenhagen, attracted around 75,000 visitors this year. The worst incident in its 41-year history took place in 2000, when nine young men were crushed to death by crowds hoping to see the US band Pearl Jam.