The 39-year-old, who has not yet been named, travelled from Manchester with two friends to swim in the river as part of a cold water therapy session on Monday.
However, the woman soon got into difficulties, collapsed in the water and then died.
A spokesperson for Derbyshire Police said: “At about 4.15pm on Monday, April 25, paramedics called us to the riverside off the B6062 between Bridgemont and Furness Vale, where they were treating a woman who had been in the water.
“The 39-year-old woman was taken to hospital where she was then pronounced dead.”
The woman, who has not been named by police, was taking part in a cold water therapy session run by company Breatheolution, which is owned by therapist Kevin O’Neill.
Cold water therapy is said to have significant positive effects on everything from helping with sports injuries to even assisting those with severe PTSD or anxiety sufferers to step away from prescribed medication. It has also been known to improve the body’s vasucular system, mental health and sleep too.
The Buxton Advertiser tried to contact Mr O’Neill but were unable to speak with him before the paper went to print.
However, speaking to The Sun newspaper he said the friends had slowly acclimatised to the cold river before gently lowering down to their shoulders. He added that the the woman was laughing before suddenly collapsing. He then helped her to the bank where he performed CPR as emergency services including the air ambulance were called to the scene.
He said: “I am heartbroken. I’ve not slept and I’m finding it hard to process. I cannot stop thinking about her family. It’s tragic.
“I have taken 1,100 people into the water over two years and nothing like this has ever happened. It’s a freak incident and very sadly someone has lost their life.”
Dave Atkins saw the emergency services at the scene. He said: “Police, a fire engine, an ambulance and even the air ambulance were all there.”
Derbyshire police added: “There are no suspicious circumstances and we are preparing a file for the coroner.”