The 49-year-old from Hebburn, South Tyneside, had jumped before but not in the UK, Durham Police said.
She was found in a cul-de-sac close to the airfield at Shotton Colliery from where her plane had taken off.
The Great North Air Ambulance Service flew the woman to the James Cook University Hospital in Middlesbrough.
Det Insp Dave Cuthbert said: "This is a tragic incident. The lady who has died was using her own equipment and was making her first sky-dive in this country, having previously made parachute jumps abroad.
"We will be working with the HSE and the British Parachuting Association to establish why this tragedy happened."
The coroner has been informed and a post-mortem examination is due to be carried out on the woman's body.
It is understood residents carried out CPR on the woman before paramedics arrived at the scene, where she had landed close to a car.
One witness, who did not want to be named, said seeing parachutists was not unusual, but this jump - involving a group of parachutists - had made him look up.
"I could hear a fluttering noise and it sounded unusual," he said.
"I could see it was not the main parachute, because they're massive.  It was so close to the ground."
He said it did not look like the woman was moving before she hit the car and he thought she was unconscious.
"She was not screaming," he said.  "All I can see is her spinning like a top."
He did not see the impact, but later saw the woman on the ground as people tried to help her, after she appeared to have suffered a serious head injury.
A parachutist has died after her chute failed to open and she crash-landed in Shotton Colliery, County Durham, police say.