Roh, 62, had gone hiking near his home with an aide around 6:30 a.m. Saturday, Yonhap said.
He was found later with head injuries, and died after being taken to a hospital in Busan, police said. A hospital spokesman declined to comment.
Yonhap said Roh's death came amid an investigation into a bribery scandal that has tarnished his reputation.
Roh, who served as president from 2003 to 2008, and his family had allegedly received $6 million in bribes from a businessman, Yonhap said.
Roh said he learned about the payments only after he left office and that some of them were legitimate investments, Yonhap reported.
Public reaction to Roh's death varies. I'm especially intrigued by the person who believed "death was the best choice for him." Interesting considering how taboo suicide is in this culture.:
"I'm heartbroken. I can't imagine how much pain he was in," Park Kyung-hee said. "I think death was the best choice for him so that those close to him didn't have to suffer."
Jang Soo-Dong, an engineer, said the media, "and prosecutors and others who fed them with unconfirmed allegations" should be held partly responsible.
But businessman Park Hae-Heon said Mr Roh should have "resorted to the legal system to prove what was right and wrong".
Also in the news, South Korea has confirmed its fifth case of swine flu, this time from an American English instructor who recently arrived in the country. Doesn't make me feel too good about my current sore throat/achy bones situation.
Even a little swine flu can't bring me down right now. Tomorrow is finally a day off and will be jam-packed with fun activities. Can't wait.