"A woman pilgrim was killed in Undasa area when the lightning struck her," Ujjain SP Manohar Verma said.
She was yet to be identified.
Squall coupled with rain suddenly hit the mela area, uprooting various 'akharas' (camps) of sadhus.
Minister in-charge of Ujjain, Bhupendra Singh, said 15-20 pilgrims have suffered injuries in the thunderstorm.
No major damage was reported from anywhere and things were under control, he said, adding the injured had been shifted to a hospital.