The 36-year-old player was found hanging at his residence in Tala Park in north Kolkata at around 4 am, police sources said.
A suicide note was found in the room.
Condoling his death, Udayan Kanti Ghosh of the state chess association said Roy was one of the talented players from the state but he suffered from mental depression as his father too committed suicide a few days ago.
"It was a big loss to the chess fraternity. He was a very talented chess player," Ghosh said.
Associated with the Alekhine Chess Academy, Roy was National sub-junior champion in 1990. He won the national rapid title in 1995 and held the state senior national title from 1995 to '98.
Roy held two GM norms and was currently coaching former Asian U-12 champion Diptayan Ghosh.
