The MLA from Bhabua constituency was 41, and is survived by his wife, a son and a daughter.
In a statement condoling the young MLA's death, Bihar Deputy Chief Minister Sushil Kumar Modi said, "Pandey had been suffering from kidney failure for eight months. He was undergoing treatment at Sir Gangaram Hospital in Delhi where he breathed his last Thursday morning."
His body is being brought from Delhi to Bhabua, where he will be cremated at his ancestral village, Sushil Modi said.
Chief Minister Nitish Kumar said Pandey's last rites will be performed with full state honours.
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