Rescue teams were called to a report of a person who had become stuck under Tilly Whim Caves, off the Dorset coast on Saturday.
By the time rescue teams reached the 30-year-old woman she had died.
Rescue teams were unable to retrieve her body as it was deemed "too dangerous".
A 31-year-old man was airlifted to safety uninjured.
Swanage Coastguard said: "Entry to the cave was either underwater, or through a narrow blowhole at the top of the cave.
"The rescue was considered to be at the very edge of our technical capability.
"With the light failing and high tide approaching a final risk assessment was undertaken by the office in charge and decision made to deploy.
"The St Albans' cliff technician showed exceptional courage and entered the cave through the blow hole."