Margaret Mary Ray, 46, left behind only the phone number of a friend who could notify relatives when she died Monday afternoon, Delta County Sheriff Bill Blair said Tuesday.
"This lady just walked out, knelt and leaned over the track, and the train couldn't stop," Blair said. "She was killed instantly."
Ray spent various terms in prison, jail and mental institutions over the years for harassing Letterman and, more recently, former astronaut Story Musgrave.
She was first arrested in 1988 while driving Letterman's Porsche near the Lincoln Tunnel in New York City. She identified herself as Letterman's wife and her son as David Jr. when she was unable to pay the $3 toll.
She was arrested repeatedly in subsequent years on trespassing and other counts, once after police found her sleeping near tennis courts on Letterman's property in New Canaan, Connecticut. She once told reporters she left cookies and an empty bottle of Jack Daniels whiskey in the foyer of Letterman's house during one of her visits.
Ray spent about 10 months in prison and 14 months in a state mental institution on the trespassing convictions.
In a 1992 interview with The Advocate of Stamford, Connecticut, Letterman said he had tried everything to discourage Ray.
"The thing is, she's insane," Letterman said. "And you don't want to do anything to make it worse than it is."
More recently, Ray turned her attentions to Musgrave.
He told investigators last year that Ray had harassed him for four years by calling, writing, and sending him packages. She onced showed up at Musgrave's Osceola County, Florida, home and turned on all the outdoor faucets.
"I love him and want to spend the rest of my life with him," Ms. Ray said from the jail.
She eventually pleaded guitly to stalking and misdemeanor assault on a corrections officer. She was freed in August after being credited for time already served.
Blair said Ms. Ray was living in Crawford, Colorado, and had caused no trouble there.
Letterman occasionally joked about the incidents. Shortly before he left NBC for CBS in 1993, he alluded to Ms. Ray in his "Top 10 Things I Have To Do Before I Leave NBC." One item on the list was "send change-of-address forms to that woman who breaks into my house."