Inés Zorreguieta reportedly died of apparent suicide at her home in Argentina. A spokesman for the Netherlands Government Information Service told Dutch media that Zorreguieta was believed to have died in a suicide.
Queen Maxima, 47, also has two brothers, Martin and Juan, and three half siblings.
Understandably, the Queen is shocked and very upset.
"The sudden death of Queen Máxima's sister comes as a big shock".
Zorreguieta was a psychologist who worked on social policies at the office of Argentina's president, Mauricio Macri.More news: Watch, stream as Justify gets post for Triple Crown bid
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 by those who stay behind.
She was a bridesmaid for her sister's 2002 marriage to then-Dutch Crown Prince Willem-Alexander, and goddaughter for the couple's youngest daughter, 11-year-old Princess Ariane.
"With our hearts and our thoughts we are with the queen and her family". King Willem-Alexander will travel alone to Estonia, Latvia and Lithuania.
Reports say that Zorreguieta suffered from depression and mental health issues.
Between 2009 and 2011 she worked at the United Nations headquarters of Panama but returned to Argentina in 2012 after a breakup.