According to the filmmaker's brother Johar, Bendjelloul committed suicide. Johar told Swedish daily Aftonbladet that the director had struggled with depression and that learning his brother had taken his own life was the worst thing he'd ever experienced.
"Life is not always simple," Johar said. "I don't know how to handle it. I don't know."
Police have not announced an official cause of death yet, but do not suspect foul play.
Bendjelloul was inspired to make Searching for Sugar Man, the story of how Mexican-American musician Sixto Rodriguez became a cult hero in apartheid-era South Africa, while backpacking around the world. The film took four years to complete and all of Benjelloul's money. He even had to film the final parts with his smartphone.
Before Searching for Sugar Man, Bendjelloul was a reporter for Sweden's public broadcaster SVT and was a child star on the TV series Ebba and Didrik. Prior to his death, Bendjelloul had been working on a new film.
Besides Johar, Bendjelloul is survived by his parents.