UPDATED: Police said Bendjelloul died late Tuesday in the Stockholm area. His brother later confirmed local media reports that he had committed suicide.
"I can confirm my brother has taken his own life," Johar Bendjelloul said in a text message to Reuters.
"Searching for Sugar Man," structured like a mystery, followed two South African journalists who tried to track down American singer Sixto Rodriguez after his disappearance from the public scene.
Rodriguez had failed to achieve fame in the United States but, unbeknownst to him, had become a popular and influential folk icon in South Africa.
"Searching for Sugar Man" swept major awards from U.S. directors, producers and writers guilds, and won audience and special jury awards at the Sundance Film Festival.
It helped make Rodriguez, now 71, better known in the United States and led to a revival of his musical career.
Rodriguez told Billboard magazine after a performance in Detroit on Tuesday that the director's death was a "shock."
"He was a very talented man and hard-working artist - he proved it by hitting an Academy Award his first time out," the singer and songwriter said. "My deepest condolences to his family. Rest in peace."
Sony Pictures Classics, the film's distributor, praised Bendjelloul's modesty and passion for storytelling.
"Much like Rodriguez himself, Malik was a genuine person who chased the world for stories to tell," it said in a statement.
"He didn't chase fame, fortune or awards, although those accolades still found him as many others recognized his storytelling," the statement said.
Fellow directors mourned his passing.
"He made a great film & will be missed," U.S. filmmaker Michael Moore said on Twitter.
His former employer, Swedish public service broadcaster SVT, said it would run a memorial program about Bendjelloul late Wednesday.
Nicholas Wenno, a reporter at Sweden's daily Dagens Nyheter, described the filmmaker as "a whimsical genius who saw the world in his own way, who seemed fueled by atomic energy".
"We are many that will mourn you," Wenno said.
Bendjelloul was born in the town of Ystad near Malmo in southern Sweden, according to film database IMDB.com.
He also directed television documentaries about rock singers Elton John, Rod Stewart and Bjork and German electronic music pioneers Kraftwerk, the Swedish Film Institute said. (Additional reporting by Anna Ringstrom and by Eric Kelsey in Los Angeles; Editing by Gareth Jones and Bernadette Baum)
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