A 22-year-old female student was taken ill near the Guinean border on Thursday last week and died on Tuesday, according to local health officials.
"We can confirm the Ebola case in Sierra Leone," the WHO said in a statement from Geneva.
Augustine Junisa, the chief local medical officer, told reporters the woman became ill while on holiday in the village of Bamoi Luma and was taken by relatives to hospital.
The official said the woman "died at home" but did not say why she had been released from the hospital in Magburaka, the capital of the northern Tonkolili district.
"The swab test on the victim after her death was done three times and all proved positive," Langoba Kelly of Sierra Leone's office of national security told reporters in Freetown, appealing for calm.
Kelly said investigators were fanning out across Tonkolili to track down anyone who may have had contact with the victim and family members had been placed in isolation.
"Our level of preparedness remains high as we did not stand down or dismantle any of the structures that we had used to fight the virus before."
The WHO had said Thursday a two-year Ebola outbreak that killed more than 11,000 people and triggered a global health alert was over, with Liberia the last country to get the all-clear.
However, the organisation also warned there could be "possible flare-ups" of the disease.
UN chief Ban Ki-moon cautioned that the region could expect sporadic cases in the coming year but added "we also expect the potential and frequency of those flare-ups to decrease over time".
'Really worried'
Residents in Magburaka, a town of around 40,000 people, voiced shock and distress over the announcement.
"It was not expected and came at a time when we had thought that the virus is nowhere within our land," groundnut farmer Allieu Kamara told AFP.
"We are really worried that death has resulted from the case but we are hopeful that the huge presence of the various key players will bring back confidence to all of us."
The deadliest outbreak in the history of the feared tropical virus wrecked the economies and health systems of the three worst-hit west African nations after it emerged in southern Guinea in December 2013.
Sierra Leone was declared free of Ebola transmission on November 7 last year and Guinea on December 29.
At its peak, it devastated Guinea, Liberia and Sierra Leone, with bodies piling up in the streets and overwhelmed hospitals recording hundreds of new cases a week.
Muted reaction
Liberia, the country worst hit by the outbreak with 4,800 deaths, discharged its last two patients from hospital -- the father and younger brother of a 15-year-old victim -- on December 3, 2015.
Africa's oldest republic was the last country still afflicted by the outbreak that infected almost 29,000 people and claimed 11,315 lives, according to official data.
The real toll is suspected to be much higher, with many Ebola deaths believed to have gone unreported.
After the last patient is declared in the clear, a 42-day countdown -- twice the incubation period of the virus -- begins before the country is proclaimed Ebola-free.
Ebola causes severe fever and muscle pain, weakness, vomiting and diarrhoea. In many cases it shuts down organs and causes unstoppable internal bleeding. Patients often succumb within days.
From a Guinean infant who was the first victim, the epidemic quickly spread into neighbouring Liberia and Sierra Leone, notching up more deaths than all other Ebola outbreaks combined.
Liberia was first to be declared free of human-to-human Ebola transmission in May, only to see the virus resurface six weeks later.
It was officially credited with beating the epidemic for a second time in September before another small cluster of cases emerged.
Reaction to Thursday's announcement was muted in the capital Monrovia, where locals have become accustomed to good news on Ebola being followed by setbacks, and there was no official programme of celebration.