Mr Milosevic's health had delayed his trial
The tribunal said he had been found dead in his cell on Saturday morning. The cause of death is not yet clear.
Mr Milosevic, 64, has been on trial at the UN war crimes tribunal for genocide and other war crimes since 2001.
The tribunal last month rejected a request by Mr Milosevic to go to Russia for medical treatment. He had high blood pressure and a heart condition.
The tribunal has ordered an inquiry into the death.
"Milosevic was found lifeless on his bed in his cell at the United Nations detention unit," the tribunal said in a statement.
"The guard immediately alerted the detention unit officer in command and the medical officer. The latter confirmed that Slobodan Milosevic was dead."
Mr Milosevic faced charges of war crimes and crimes against humanity for his alleged central role in the wars in Bosnia, Croatia and Kosovo during the 1990s.
He also faced genocide charges over the 1992-95 Bosnia war, in which 200,000 people died.Mr Milosevic was in office for 13 years until 2000