Police said the incident happened at McColl's on St Enoch Square in Glasgow at around 11.50am.
A man was also taken to hospital and police said they were treating the death as suspicious.
The area outside the shop was cordoned off with police tape while forensics officers in white suits carried out investigations this afternoon.
It is thought the woman who died was a McColl's employee.
Staff in nearby shops spoke of their shock and said they had heard the woman, in her late 30s, had been stabbed by a man who then stabbed himself.
Passer-by Stewart Kinnon, 47, said: "I was in the shop about 20 minutes before it happened. It's a terrible thing to happen. She was a pleasant woman, all the staff in the shop are pleasant."
A worker at the William Hill bookmaker next door said: "It's terrifying. We're pretty shaken."
A McColl's spokesman said: "We are aware of the incident. Police are carrying out investigations and we are co-operating fully."
A mobile police office was set up in the square.