Initial enquiries reveal her injuries were caused as a result of a road traffic collision, police said.
No vehicles had stopped at the scene, the Met said.
The victim, believed to be aged 23, was pronounced dead after paramedics dashed to the scene.
A Metropolitan Police spokesman said officers were called to Wood Lane near the junction with the Westway (A40) at 9.56am on Tuesday following reports of a person in the carriageway.
“Officers attended with London Ambulance Service paramedics and found a woman, believed to be aged 23, who was pronounced dead at the scene. Her next of kin are yet to be informed.”
A London Ambulance Service spokesperson said: “We sent an ambulance crew, two paramedics in fast response cars and an incident response officer to the scene.
“The first paramedic arrived in less than five minutes. Sadly the patient died at the scene.”
Anyone who witnessed a collision should call 101, giving the reference 2081/19OCT.