The city government said the woman stumbled on the stairs of her home in the city's central Doctores neighbourhood and hit her head as quake alarms rang out.
Officials also reported that a man in the south of the capital suffered a fatal heart attack after the quake.
There were no immediate reports of serious damage elsewhere in the country, authorities said.
The quake was weaker and deeper than a quake on Monday, striking at a depth of 13 miles.
In the capital’s Roma Sur neighbourhood, alarmed residents ran outdoors in nightdresses and pyjamas, some wrapped only in blankets.
Neighbours comforted each other, holding crying children and pets, as the quake alarm sounded four times.
The epicentre of Thursday's earthquake, which struck at around 1.16 a.m. local time (6.16am GMT), was recorded in the state of Michoacan, not far from Monday's quake.
Mexico's civil protection authorities and President Andres Manuel Lopez Obrador said there were no initial reports of damage in Michoacan or the surrounding regions.
The US Tsunami Warning System said the latest quake did not pose a tsunami threat. Following Monday's quake, the Pacific Tsunami Warning Centre had issued a tsunami warning.
Monday's more powerful tremor was the third major earthquake to strike on September 19, after earthquakes on that date in 1985 and 2017.
The devastating 1985 natural disaster killed 9,500 people.