The dog, who was almost 15, was put to sleep at Windsor Castle on Sunday after suffering from cancer, according to the Daily Mail’s Richard Kay.
Willow was the 14th generation descended from Susan, a gift to the then Princess Elizabeth on her 18th birthday in 1944.
The Queen still has Vulcan and Candy, two dorgis - corgi-dachshund crosses.
Last year she agreed to adopt a corgi, Whisper, after the death of his owner, a former Sandringham gamekeeper, but Willow was the only dog left with a link to the Queen’s original family of royal corgis.
As a teenager, Princess Elizabeth fell in love with her father’s dog Dookie, a Pembrokeshire corgi, and wanted one of her own, and was given Susan.
During her reign, she has owned more than 30 corgis, many of them direct descendants of Susan, who was so loved that she accompanied Princess Elizabeth on her honeymoon.
Willow appeared in the 2012 James Bond sketch which the Queen recorded for the London Olympics opening ceremony.
The dog and two other corgis, Monty and Holly, greeted the secret agent, played by Daniel Craig, as he arrived at the palace to accept a mission from the Queen.
The dogs ran down the stairs, performed tummy rolls and then stood as a helicopter took off for the Olympic stadium, carrying Bond and a stunt double of the Queen.
Monty, who was 13, died a couple of months later. Holly was put down in October 2016 after suffering from an illness, leaving Willow as the Queen’s final corgi.
Buckingham Palace declined to comment on the private matter.
Prince Harry revealed last year how his fiancee Meghan Markle had managed to charm the Queen’s dogs.
The prince said in his engagement interview: “And the corgis took to you straightaway.
“I’ve spent the last 33 years being barked at - this one walks in, absolutely nothing.”
Describing the moment, Ms Markle said: “Just laying on my feet during tea, it was very sweet.”