Jodi Lane, 30, was taking her dogs on a stroll through Manhattan's East Village last week when they started fighting.
As she tried to separate them she slipped on the icy ground and landed on the manhole cover.
Ms Lane died because uninsulated wires are thought to have carried the charge above ground with the help of salt used to grit the roads.
"At first I thought she had gotten bit by the dog, but then I realised she had been electrocuted," a woman who identified herself only as Meg told the New York Post.
When the emergency services arrived, they did not touch Ms Lane for fear that they would be electrocuted. One officer suffered an electric shock when she came too close.
Chris Olert, a spokesman for Consolidated Edison, told the New York Times the company was investigating the electrocution, and had inspected more than 620 manholes and utility boxes since Saturday.
Mr Bloomberg said: "It's just unacceptable that somebody can walk on a street and get electrocuted and we've got to make sure that doesn't happen again. The excuse that it's salt - well, we have salt on the roads every winter."