Naik Shiv Gorda, posted with 54 Rastriya Rifles (RR) of the Army, shot himself with his rifle at a forward post in Jangarh border belt of the district last evening, they said.
The deceased, who belongs to Karnataka, died on the spot, police added.
The Army has ordered a Court of Inquiry (CoI) into the incident to ascertain the reason behind the suicide, officials said.