Family sources said the actor was not keeping well for some time.
The actor established a niche playing negative characters on the big screen as well as on television. His last release was the Telugu film Kedi.
A graduate from the National School of Drama, the actor is best known for films like Iss Raat Ki Subah Nahin, Pyaar Kiya Toh Darna Kya, One 2 ka 4 and Shikari.
Pandey also held the rare distinction of winning an award in the Best Actress category when he received the Valenti award in France in 1996 for his turn as a transvestite in Amol Palekar's Daayraa.
Irrfan Khan, who was a senior of Pandey's at NSD said that he was 'deeply saddened' by Pandey's sudden death. "I remember him as a handsome guy. He was not just a good actor but also an excellent singer. I had not been in touch with him for some time, but the news is saddening," said Irrfan.
Sudhir Mishra, who directed him in Iss Raat Ki Subah Nahin, was shocked when he heard the news. "I am completely taken aback. I got to know only a few minutes ago," he said.
Pandey had released an album called Jazba in 2002 and directed Andhayug, a Hindi play, written by noted playwright Dharamveer Bharati.
With inputs from Preeti Arora