She died in retirement in Australia aged 27 from a gastrointestinal issue ('colic'), long-time owner Tony Santic said.
"Makybe Diva was more than a champion -- she truly transcended the sport of racing," Victoria Racing Club chairman Neil Wilson said in a statement.
"Her three consecutive Melbourne Cup victories stand among the most iconic achievements in Australian sporting history, and the memories she created will never be forgotten."
Born in Britain, Makybe Diva combined with jockey Glen Boss to create history at the "race that stops a nation" between 2003 and 2005, becoming a household name in Australia.
No other horse has achieved the feat before or since.
She retired immediately after her third Melbourne Cup win, concluding her career with 36 starts for 15 wins, which also included the Cox Plate, BMW Stakes, Memsie Stakes and Turnbull Stakes.
"From the day she came into our lives, she was never just a racehorse, she was family," said Santic.
"She gave us moments Australia will never forget, but more than that, she gave us joy every single day."