Sepoy Manoj Kumar Arjun, aged 23, allegedly shot himself with his service rifle inside the Mahar camp at Z-Gali Machil last evening, they said.
Arjun, a resident of Washim district in Maharashtra, was rushed to nearby army hospital where doctors declared him brought dead, police said.
It was not immediately known why the soldier took the extreme step.
A case had been registered and investigations were on, police said.