Zorreguieta reportedly suffered from depression and was seeking psychological help.
Queen Maxima of the Netherlands, seen here with her husband, King Willem-Alexander, in 2017, was close to her sister, who was godmother to her third child, Princess Ariane.
Ines Zorreguieta (second from left back row), sister of Queen Maxima of the Netherlands, has died in Argentina.
Zorreguieta died late on Wednesday, aged 33, a palace spokeswoman announced earlier.
The queen and her sister are native Argentinians.
Tributes were paid to her on an Instagram video her brother Martin posted a year ago of his "very lovely and talented little sister" singing and playing the guitar. "It is intensely sad and heartbreaking news that can hardly be comprehended for those who stay behind", Prime Minister Mark Rutte said, according to The Guardian. "I wish them all the strength necessary to carry this terrible loss together and I trust that they will get the peace and space for that". Dutch News reported she canceled a visit to Lithuania, Estonia and Latvia following the news of her sister's passing.
It's understood the 33-year-old took her life, a Dutch government spokesperson told local TV news. She had also worked for the social development ministry in Buenos Aires province and at a United Nations office in Panama.