The former Leeds, Everton, Newcastle and Bolton midfielder was found hanged at his home in Chester this morning.
Police say there are no suspicious circumstances surrounding the 42 year-old's death.
The Football Association of Wales confirmed the news, saying that Speed's family had authorised the release of the information.
A spokesman for Cheshire Police said: "At 7.08am on Sunday 27 November 2011, Cheshire police was informed of a sudden death at an address in Huntington, Chester.
"Officers went to the scene where a 42-year-old man was found dead. The next of kin have been informed and have confirmed the identity of the man as Gary Speed.
"There are no suspicious circumstances surrounding the death the family have requested that they are left in peace to grieve at this difficult time. A family tribute will be released at a later date but not today."
Following news of his death, tributes from the world of football were paid.
The Manchester United striker Michael Owen, who lives near the star, tweeted: "Just cannot believe the news regarding Gary Speed. We waved at each other a couple of days ago dropping our kids off at school. I'm numb."
Former Wales international Robbie Savage wrote on Twitter: "He was upbeat on phone yesterday we were laughing together , talking football and dancing he was a great teammate and a great friend #RIP."