LONDON—Margaret Thatcher, the uncompromising British prime minister who became one of the most influential global leaders of the postwar period, died on Monday, three decades after her championing of free-market economics and individual choice transformed Britain's economy and her vigorous foreign policy played a key role in the end of the Cold War.

"We've lost a great prime minister, a great leader, a great Briton," said U.K. Prime Minister David Cameron, who cut short a Europe trip to return to the U.K. on Monday...