Eyewitnesses told The Sun the woman was on a dolphin-watching tour before riding an inflatable “banana boat” back to the shore.
However, she became trapped underneath the boat when it overturned and later died after efforts to revive her were unsuccessful.
A Thomas Cook spokesperson said: “We can confirm that one of our customers sadly died last week while on an excursion in Egypt.
“We would like to offer our sincere condolences to the family, and our welfare team continue to do all they can to support them at this time.
“We are urgently investigating what happened.”
A Foreign Office spokesperson added: "Our staff are assisting the family of a British woman who has died in Hurghada.”
The incident happened a week after two Cook holidaymakers died at a hotel in the same Red Sea resort.
John and Susan Cooper fell ill at the Steigenberger Aqua Magic hotel and died on August 21.
Investigations are ongoing, with tests of the water, food and air conditioning at the hotel due to return results this week.
The Egyptian authorities have said the couple died of natural causes. Cook has said there is no evidence to suggest the deaths were due to carbon monoxide poisoning.
Cook, however, pulled all 301 of its guests at the hotel out as a precaution amid reports of a “raised level of illness”.
Chief executive Peter Fankhauser flew out to Hurghada last week to meet the Egyptian prime minister and tourism minister.
He also confirmed 13 Thomas Cook guests at the hotel had been suffering food poisoning, although none of them were in a serious condition.
