The 51-year-old actor was in Italy to attend the 59th Taormina Film Festival in Sicily.
TMZ reports he died from a heart attack. Deadline reports the same cause of death.
Gandolfini was in pre-production on a new limited series, Criminal Justice, one of several projects he had in the works, Deadline adds.
The New Jersey native got his start playing a hitman in the 1993 hit True Romance but he became a worldwide celebrity thanks to his role as Tony Soprano in the HBO show in 1999.
Most recently he played a C.I.A. director in Zero Dark Thirty.
On August 30, 2008, Gandolfini married his girlfriend, former model Deborah Lin, in her hometown of Honolulu, Hawaii.
