The 23-year-old woman, believed to be seven months pregnant, was admitted to Addington Hospital on Monday.
She died two days later, said department spokesman, Chris Maxon.
"The woman had a high fever and suffered from other complications," he said.
The number of reported infections in the province are currently standing at 132.
The confirmation of the first death in the province comes after the department announced it was stepping ups its swine flu awareness campaign as the number of people affected by the virus increased.
Health Minister Aaron Motsoaledi said South Africa had 1910 confirmed cases of swine flu, so far.
The country's first H1N1 victim reported was 22-year-old Stellenbosch University student Ruan Muller. The second swineflu death was of a 15-year-old teenager from Bloemfontein and the third, a 42-year-old woman from the Western Cape.
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