Three other men are being treated for gunshot wounds in hospital after the attack in The Lighthouse in Wallasey Village, Wirral at about 23:50 GMT on Saturday.
A number of other people were also injured, police added.
Officers are appealing for information after the gunman fled in a dark vehicle, believed to be a
Mercedes.
Merseyside Police said the woman died after she was rushed to hospital following the shooting, which happened in a "busy venue full of young people".
The incident was described as "despicable" by Chief Constable Serena Kennedy and "heartbreaking" by the area's MP, Dame Angela Eagle.
Det Supt David McCaughrean said: "We have a number of officers at Wallasey Village who are carrying out extensive inquiries to understand exactly what has taken place and take immediate action."
The woman's family have been informed and are being supported by specially trained officers.
In a statement, The Lighthouse pub said they were "completely shocked", adding: "This is a tragedy beyond any words.
"All our thoughts are with the friends and family of our customers and in particular our hearts go out to the family of our customer who has lost her life.
"We have provided the police with CCTV footage and our priority is supporting everyone who has been impacted."
A spokesman said anyone who had Christmas Day bookings were being contacted and given a refund.
Local resident Jenny Hough said she heard the shots but assumed they were fireworks for Christmas.
The 77-year-old described the shooting as "a complete shock".
She said: "My sister's garden had been broken into. We suspect it was people trying to get out of the pub and trying to climb over the wall and into her garden to get out."
At the scene
Not too long ago this pub was bustling and busy, it was full of young people.
The televisions are still on - it looks like the aftermath of a party. There are bottles that are still strewn across the table as people were celebrating Christmas.
It's absolutely devastating to any family and any friends at any time, but especially at Christmas.
Police want any witnesses with footage and information to contact them.
Jeffrey Hughes, minister of the United Reformed Church in Wallasey Village, said the pub was central to the community.
He described the area as "fairly lively", adding: "It's a nice part of Wallasey."
"We've got a lot of young people, families in that area.
"When we first heard the news this morning that there'd been a shooting in Wallasey, Wallasey Village is the last place you would think of."
