Dyfed-Powys Police was called to an address in the Milford Haven area at 10:08 GMT on Tuesday.
In a statement, Milford Haven School said pupils and staff had been "devastated by the terrible news" and counselling was being provided.
Police said the death was not being treated as suspicious.
The sudden death of a 14-year-old Pembrokeshire schoolgirl is being investigated by police.