The girl, who has not been named, was among a party of 15 trainees and five instructors on an outing in the Milford Haven estuary in west Wales.
An RAF helicopter, the Anglesey lifeboat and other craft were sent to the scene near Carr Rocks at Pembroke, after the Irish ferry MV Normandy spotted their red distress flare at about 3.30pm. Two people were seen in the water, with a third reported trapped under the upturned hull.
Milford Haven coastguard said the accident happened in "reasonably calm" water, and weather conditions during the exercise were good. A Prince's Trust Volunteers spokesman said all involved had been wearing life jackets.
The girl was taken by helicopter to Withybush Hospital, Haverfordwest, but Dyfed- Powys police last night confirmed her death three hours after her rescue. Officers were contacting her family in England to inform them of the tragedy.
A coastguard spokesman said: "All the others in the same group were accounted for."
The other two people rescued are still being treated in hospital, although their conditions are not said to be serious.
Dyfed-Powys police, who have begun an investigation, said four or five people were in the capsized dinghy, which was one of four 14ft sailing craft being used by the group.
The latest accident is a further blow to the reputation of The Prince's Trust. It was fined pounds 10,000 in November after admitting responsibility for the deaths of two volunteers who were killed when a concrete wall collapsed on them on the Orkney island of North Ronaldsay.Reuse content