The Baja California Sur state prosecutor's office says the collision with the whale less than two kilometrs from the Cabo San Lucas resort tossed the victim into the water.
Firefighter commander Juan Carvajal Figueroa says the woman was in a boat with other tourists returning to port around noon when the whale jumped from the water and landed on the boat.
Mexican navy personnel responded to the scene and moved the woman to shore.
She was taken to a clinic, where she died during treatment.
Authorities have not yet released her name or hometown.