The Havaldar, identified as Vishnu Prasad Kaurav, had arrived here for training from Burhanpur, Additional Superintendent of Police (ASP) Rajesh Kumar Singh said.
While taking part in the parade, he suddenly fell down and became unconscious. He was rushed to the state-run M Y Hospital where doctors declared him brought dead, the ASP said.
Kaurav was among 182 Havaldars posted in Indore region who are undergoing a 40-day-long training.
His body has been sent for autopsy, the officer said, adding further investigations are on.