The 59-year-old was taking part in the Santa Jog at Bowhill Country Park, near Selkirk. She was treated by ambulance staff after collapsing, but died before she could be taken to hospital.
The woman has been named locally as retired primary school teacher Eve Rafferty.
A spokesman for Police Scotland said: “Police received a report of a woman who collapsed within the Bowhill Country Park in Selkirk on Saturday during a charity run.
“The 59-year-old was treated by ambulance staff but passed away at the scene.
“There appear to be no suspicious circumstances surrounding this death and a report will be sent to the procurator fiscal.”