The woman, aged in her 50s, was discovered by a passer-by in Brockhurst Drive, near to Whitmore Reans Working Men's Club, in the early hours of Saturday.
She was taken to hospital but died a short time later.
West Midlands Police officers are treating her death as unexplained and are investigating the woman's last movements.
The area where she was found has been cordoned off by police, who remained at the scene on Monday.
A spokesman for West Midlands Police said: "A woman was taken to hospital after being found unconscious by a passer-by in Brockhurst Drive, Wolverhampton in the early hours of Saturday morning.
"Sadly the woman, aged in her 50s, died a short time later.
"Her death is being treated as unexplained and detectives are trying to establish her last movements in an effort to discover what led to her death.
"The area where she was found has been cordoned off and a post mortem examination will take place in due course."
A West Midlands Ambulance Service spokesman added: "We were called at 5.09am on Saturday to near Whitmore Reans Working Men’s Club near Brockhurst Drive and Bitterne Drive following concerns for the welfare of a woman who was found unconscious by a passer-by.
"Two ambulance crews attended and arrived to find a woman in a serious condition. Crews administered trauma care on scene and conveyed the woman to hospital on blue lights.
"Sadly the woman died a short time later in hospital."
Anyone with information which could assist police with their investigation are asked to call West Midlands Police on 101.
Alternatively, witnesses can call Crimestoppers anonymously on 0800 555111.