"I can confirm that it was suicide and that he had been depressed for a short period," the 36-year-old film-maker's brother Johar Bendjelloul told newspaper Aftonbladet. "Life is not always so easy."
Bendjelloul was found dead in his apartment on Tuesday.
He won the Academy Award for best documentary feature last year for 'Searching for Sugarman', telling the story of a musician who became famous without knowing it.
Sixto Rodriguez made two albums in the early 1970s but then quit music. After disappearing, his records became huge hits, particularly in South Africa.
Rodriguez told newspaper Expressen that he was shocked over the filmmaker's death following a concert in Chicago.
"Malik was a fantastic person," he said. "He was both unique and very friendly."
Born to an Algerian father and a Swedish mother in 1977 in the small southern town of Ystad, Bendjelloul moved to Stockholm as his career took off.
He first discovered Rodriguez while travelling for six months in Africa in 2006, and was fascinated by his story.
