Cheshire Police were called to the player’s home in Huntington, Chester, shortly after 7 am on Sunday morning.
A police spokesman said there were no suspicious circumstances surrounding the death.
A spokesman for the Football Association of Wales said : “The Football Association of Wales are sad to announce the death of the national team manager Gary Speed.
“We extend our sympathies and condolences to the family.
“We ask that everyone respects the family’s privacy at this very sad time.”
Speed took over the Wales job in December and the side had been performing well. A 4-1 friendly win over Norway earlier this month represented a third successive win for Wales, and Speed’s fifth in 10 games as manager.
In a 20-year playing career, Speed won the English league championship with Leeds in 1992 and also played for Newcastle, Everton, Bolton and Sheffield United.
Speed started his coaching career with Sheffield United before taking on the Wales job. He was 42.