Shaima al-Sabbagh, who friends said was 34 and the mother of a five-year-old boy, died of birdshot wounds, a health ministry spokesman said.
Fellow protesters said she was hit by birdshot when police fired to disperse the march.
Prime Minister Ibrahim Mahlab said Sabbagh's death was being investigated and vowed that "whoever committed a mistake will be punished, whoever he may be."
A senior interior ministry official denied police had used birdshot to disperse the protest.
"No weapons such as birdshot or rubber bullets were used, it was a small protest that did not require the use of such weapons," an aide to the interior minister, Abdel Fattah Osman, told AFP.
"Only two tear gas canisters were fired."
The clash took place hours before state television aired a pre-recorded speech by President Abdel Fattah al-Sisi to mark the fourth anniversary of the popular uprising.
"I salute all our martyrs, from the beginning of January 25 (2011) until now," said Sisi.
The speech appears to have been taped in the presidential palace before Sisi left for Saudi Arabia to offer his condolences over the death of King Abdullah.
Islamists have called for protests on Sunday in a bid to revive the "revolution" that overthrew Mubarak and briefly brought to power Islamist president Mohamed Morsi, toppled by then army chief Sisi in July 2013.
Morsi's supporters often hold small rallies that police quickly disperse.
An 18-year-old female protester had been killed on Friday in clashes in the Mediterranean city of Alexandria.
Police have warned they would confront protests "decisively."
Authorities have cracked down on the Islamists since the military overthrew Morsi after a year in power, and hundreds have been killed in clashes.
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Scores of policemen and soldiers have also been killed in militant attacks.
The crackdown has also extended to leftwing and secular dissidents who initially supported Morsi's overthrow but have since turned against the new authorities, accusing them of being authoritarian.
Saturday's central Cairo protest was organised by the Socialist Popular Alliance party.
"The party decided to hold a symbolic protest to commemorate the anniversary of the January 25 revolution," said member Adel el-Meligy.
Police "fired tear gas, birdshot and arrested the party's secretary general and five other young members," he told AFP.
Sabbagh, a member of the party, was hit in the head with birdshot, and was taken to a hospital where she was declared dead.
The interior ministry suggested in a statement that Islamist "infiltrators" were to blame.
The 18-day anti-Mubarak revolt was fuelled by police abuses and the corruption of the strongman's three-decade rule, but the police have since regained popularity amid widespread yearning for stability.
Activists, including those who spearheaded the anti-Mubarak revolt, have accused Sisi of reviving aspects of the former autocrat's rule.
Sisi and his supporters deny such allegations, and point to his widespread popularity and support for a firm hand in dealing with protests, which are seen as jeopardising an economic recovery.
The uprising's anniversary comes just days after a court ordered the release of Mubarak's two sons, Gamal and Alaa, pending a corruption retrial along with their father.
Another court had dismissed charges against the elder Mubarak over the deaths of protesters during the 18-day uprising against him.