Police spokeswoman Pia Glenvik told the Associated Press Bendjelloul died in Stockholm late Tuesday, but wouldn't specify the cause of death.
She said no crime is suspected in relation to the film maker's death.
"Searching for Sugar Man," which detailed the life and career of American singer Sixto Rodriguez, won the Oscar for best documentary in 2013.
Bendjelloul grew up in central and southern Sweden and acted in Swedish TV-series "Ebba and Didrik" as a child during the 1990s. He studied journalism and media-production at the Linnaeus University of Kalmar in southern Sweden and later worked as a reporter for Swedish public broadcaster SVT.
He resigned from that job to travel the world and he got the idea for "Searching for Sugar Man" during one of his trips.