Lay, 64, was pronounced dead at a hospital near his holiday home near Aspen, Colorado.
He was awaiting sentencing and faced up to life imprisonment for his role in the 2001 downfall of the once-mighty energy conglomerate.
"Ken Lay passed away early this morning," Lay family spokeswoman Kelly Kimberly said in a statement, saying he died of natural causes.
While autopsy results will not be available until later in the week, a pastor at the family church in Houston said he suffered a heart attack.
"Apparently his heart simply gave out," pastor Steve Wende told church members.
Lay and another former Enron CEO, Jeffrey Skilling, were found guilty of hiding the financial ruin at Enron, the company they built into the seventh largest in the United States.
Enron went bankrupt in 2001 with debts of US$31.8 billion (A$42.7bn), leaving 4,000 people out of work.
Lay was found guilty on May 25 to all six fraud and conspiracy charges he had faced.
He had posted a US$5 million bond to avoid custody until his October sentencing, when he faced up to 45 years in prison.
Reaction
Lay was once a confidante of former President George Bush Snr and dubbed "Kenny boy" by serving President George W Bush.
The current President has distanced himself from the fallen businessman who was once a major contributor to the Bushs' political campaigns.
"The president has described Ken Lay as an acquaintance, and many of the president's acquaintances have passed on during his time in office," White House spokesman Tony Snow told reporters.
Skilling was not available for comment, although his lawyer Daniel Petrocelli said the former Lay protégé is deeply saddened by the death.
"He's distraught over Ken's passing," Mr Petrocelli said. "He was a very good friend and a good colleague."
At the Enron offices in Houston, where a small crew of workers is engaged in selling off the company's assets to pay creditors, a spokesman offered condolences to Lay's relatives.
"We extend our sympathies to the Lay family in this time of sadness," said Harlan Loeb, an Enron Corp. spokesman.
Pitkin County sheriff's deputies and an ambulance were dispatched to the Lay vacation home in Old Snowmass, Colorado, early on Wednesday morning and transported him to Aspen Valley Hospital, where he was later pronounced dead.
"A coroner's autopsy is pending. There will be no further information or press release from this office until autopsy results are available later this week," the county said in a statement.
On Friday, federal prosecutors asked a federal judge to force Lay to forfeit $43.5m they said he had received because of his crimes at Enron.
Denied guilt
Both Lay and Skilling had maintained they were innocent of any crimes at Enron, and both had planned to appeal the guilty verdicts.
They claimed the company was brought down by a lack of investor confidence triggered by revelations that Enron's chief financial officer Andrew Fastow had stolen millions from the company.
He described Enron's collapse as the most devastating and heartbreaking tragedy of his life.
Lay, whose wealth at one time totalled more than US$100 million, claimed he had little money left after the Enron bankruptcy, although prosecutors have said he still had millions in annuities and other investments.
Enron began as a quiet pipeline company under Lay's guidance in 1985 and grew quickly into an international energy powerhouse.
It became the most infamous financial meltdown in decades, as images were beamed around the globe of thousands of sacked employees carrying their possessions past the company's crooked "E" logo outside its gleaming office tower in downtown Houston.
The scandal prompted new laws that hold executives responsible for what happens at their companies.
Another Enron executive, Cliff Baxter, who was a close confidant of Skilling, committed suicide just weeks after Enron's bankruptcy in 2001.
Born into poverty as the son of a Baptist preacher in Missouri, Lay is survived by his wife, Linda, five children and step-children and 12 grandchildren.