Bhayyu Maharaj, whose original name is Uday Singh Deshmukh, shot himself here, Deputy Inspector Genaral (DIG) Indore H C Mishra said.
He was rushed to the Bombay Hospital here where he succumbed to his injuries, its General Manager Rahul Parashar said.
He was very popular in Maharashtra and Madhya Pradesh because of his spiritual and social works.
A large number of his supporters gathered in front of the hospital.
His ashram is situated in Indore city and top political leaders including Devendra Fadnavis, legendary singer Lata Mangeshkar among others are his disciples.
He also played the role of a mediator when India Against Corruption (IAC) movement led by Anna Hazare was at its peak.