The 60-year-old, who has not yet been named, was struck by a grey Volkswagen Tiguan at around 1.38am.
The collision occurred close to the Kettle Black bar on the popular city street.
South Yorkshire Police said: “We received a call at 1.38am this morning for reports of a road traffic collision on Ecclesall Road in Sheffield.
“It is believed that a grey Volkswagen Tiguan collided with a pedestrian.
“A 60 year-old woman suffered serious injuries. She was taken to hospital, where she sadly died a short time later.
“Her family have been informed and are being supported by specially trained officers.”
The road was closed earlier today while emergency services dealt with the incident.
Witnesses to the collision or anyone with information should call South Yorkshire Police on 101 and quote incident number 81 of May 22.