The show's fans have been sightseeing outside the venue, Gwrych Castle at Abergele on the north Wales coast, but it is not known whether there is any connection to the tragedy.
Police say that the woman who died yesterday was from the local area.
She was pronounced dead at the scene.
The investigation into the collision was continuing today.
Among the celebrities who have spent a week inside the castle is former Strictly professional, AJ Pritchard, whose parents run a dance studio near Whitchurch.
Sgt Emlyn Hughes, of the roads policing unit, said: "We are appealing for witnesses following a collision on the A547 Abergele Road near Llanddulas in which a woman has sadly died.
"We received a report at 5.06pm on Saturday of a collision involving a female pedestrian and a blue Volvo estate car at a location known as Middle Gate.
"A woman from the local area was pronounced dead at the scene.
"The driver of the Volvo was left shocked, but uninjured by the collision.
“I am appealing for anyone who may have witnessed this tragic incident, or who may have dashcam footage, to contact the roads policing unit. The road remains closed and will be for some time as we conduct our investigations."
The coroner has been informed.
Anyone with information should call 101 or use the live webchat: north-wales.police.uk/contact/live-chat-support.
Th A547 was closed at Abergele for more than 15 hours as the investigation began.
Local people say barriers had been put up on pavements further down the road because of the expected influx of sightseers.
Others have been gathering on nearby Pensarn beach although they get a better view of the lit-up Gwrych castle from Pensarn beach where it’s also safer.
On social media there were claims that some fans were climbing walls to try to get photos of the celebrities.