Transport for London (TfL) said the 44-year-old engineer died at the station on Wednesday morning.
British Transport Police officers are investigating the death on the travelator, which is being treated as unexplained.
The police confirmed that the man, from Cambridgeshire, was a contractor and was injured while working at the Underground station.
Emergency services were called shortly after 2.20am, but the man was pronounced dead at the scene.
Shortly before 5.30am, TfL advised passengers they would be unable to change lines because of a fault with one of the station's two travelators.
A one-way system was implemented at the station for the morning rush hour and passengers have been advised to avoid the interchange between underground lines.
Detective Inspector Darren Gough said: "This is a truly tragic incident, and our deepest condolences are with the man's family.
"They are currently being supported by specially-trained family liaison officers as they come to terms with this devastating news.
"We are now working closely with the Office for Road and Rail (ORR) to conduct a thorough investigation into the incident and establish exactly what happened to lead to the man's very sad death."
A TfL official said: "We are working with colleagues in the British Transport Police following an incident at Waterloo station in the early hours of this morning. An investigation is under way."
The Mayor of London said on Twitter: "Very sad to hear of the tragic death of a contractor at Waterloo Station this morning. I know I speak for everyone at City Hall and TfL in sending our deepest condolences to their family & friends."
Mr Khan said an urgent inquiry into what happened is "vital" to ensure it cannot happen again.
London Underground managing director Vernon Everitt said: "Our deepest condolences go to the family and friends of our colleague who lost his life in the early hours of this morning working for one of our contractors at Waterloo Underground station.
"An immediate and urgent investigation is under way into the circumstances of this tragedy."