He was 72 and is survived by two daughters. His wife pre-deceased him, they said.
A close confidante of senior Congress leader Jyotiraditya Scindia, Kalukheda breathed his last in a private hospital in Gurgaon.
He had been suffering from heart-related ailments for quite some time and undergoing treatment at the hospital for nearly a month, they said.
Kalukheda was close to key members of the erstwhile Scindia dynasty - Rajmata Vijyaraje and Madhavrao Scindia.
A six-time MLA, he was elected to the assembly in 2013 from Mungavali seat, which is a part of the Guna Lok Sabha constituency represented by Jyotiraditya, the Congress chief whip in the Lower House of Parliament.
He was also elected to the Lok Sabha from Guna in 1984.
The veteran legislator had served as a Cabinet minister in former chief minister Digvijay Singh's government.
His last rites will be performed on September 13 at his ancestral village Kalukheda in Mandsaur district.
Chief Minister Shivraj Singh Chouhan, Jyotiraditya and state Congress president Arun Yadav condoled the death of Kalukheda.
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