The former midfielder—who played for clubs such as Newcastle, Everton, Bolton and Leeds—was 42 years old.
According to police, there are no suspicious circumstances involved with Speed's death.
"Just cannot believe the news regarding Gary Speed. We waved at each other a couple of days ago dropping our kids off at school. I'm numb."
Speed was a talented player, earning 85 international caps for Wales. He made his debut for Leeds as a 19-year-old in 1988, and was a key player on the club's 1992 First Division championship team.
In 2006 while playing for Bolton Wanderers he became the first player ever to makes 500 Premier League appearances.
In August of 2007 Speed became the only player to score in every Premier League season to that point, a feat later matched by and continued by midfielder Ryan Giggs of Manchester United, also from Wales.
He became the Wales manager in December 2010, and earned his first competitive win with a 2-1 victory over Montenegro in September.
With Speed as manager, Wales improved drastically and won three consecutive games for the first time since 2008 recently. Wales finished their qualifying stage for Euro 2012 with three wins in their last five matches.
Speed will be missed by the entire football community, and our thoughts and prayers go out to his family and friends.