A post mortem will be conducted but the tribunal said there was no indication of suicide.
Milosevic was 64 and had suffered from a heart condition and high blood pressure.
He'd been held at the UN tribunal since 2001.
His death has come as a blow to prosecutors who were hoping to convict him for his role in the 1992-1995 Bosnia War, in which 100,000 people died.
Human Rights Watch said his death was a setback for justice and a setback for the victims of the horrific crimes in the Balkans war, for whom Milosevic's trial offered a chance of truth and redress.
Milosevic's family and political allies in Belgrade have raised suspicions about his death and said the UN court should be held responsible.
One of his legal advisers, Zdenko Tomanovic, alleged the former president claimed he was being poisoned.
His death comes just six days after a fellow prisoner at The Hague, Milan Babic, committed suicide.