The woman, who was 46 and believed to be local, is believed to have fallen into the water from a bridge at Whitesands just after midday on Saturday.
Emergency services were called out and Police Scotland officers, firefighters from the Scottish Fire and Rescue Service and ambulance worked at the scene to recover the woman from the River Nith which was much higher than normal.
She was treated at the scene by paramedics and then taken by half a mile to Dumfries and Galloway Royal Infirmary where she died.
The emergency services worked at the scene and the firefighters used their special equipment for flood and water rescue incidents.
A Nith Inshore Rescue boat and the Annan Coastguard Unit were also alerted but stood down after the woman was located in the river and brought out.
A Police Scotland spokesman said: “The emergency services responded to a call that a woman was in the water at the Whitesands.”
He added: “There are no suspicious circumstances and report is being sent to the procurator fiscal at Dumfries.”
