The woman, whose name was not released, crashed to the ground after her backpack detached Sunday near the city of Krasnodar, RIA Novosti reported.
Investigators said an automatic activation device failed.
"The information that we have is that this is a tragic accident," said Oksana Beldinova, a spokeswoman for local investigators. "The parachute came away, the canopy separately, the woman separately."
The woman belonged to a Krasnodar skydiving club, Beldinova said.
"The athlete was experienced, it wasn't her first jump," she said.
It was the second death of a Russian skydiver this month. Former world champion Irina Sinitsyina was killed after colliding with another parachutist in Perris Valley, Calif.
Ohio bar shooting arrested, charged with murder
LGBT community has 'bullied the American people': Bachmann