Gandolfini was visiting the Italian capital with his wife Deborah Lin and his 13-year-old son Michael when he collapsed in the bathroom of his suite. He had been due to appear at a film festival in the resort town of Taormina in Sicily.
The American actor rose to fame in the 1993 film True Romance, but became a household name for playing New Jersey mob boss Tony Soprano in HBO series The Sopranos.
He won three Emmys for his portrayal of the troubled gangster and was described by critics and his co-stars as "one of the greatest actors of all time."
David Chase, The Sopranos creator who cast Gandolfini, said the actor was "a genius".
"Anyone who saw him even in the smallest of his performances knows that," Chase said, following Gandolfini's death.
"A great deal of that genius resided in those sad eyes. I remember telling him many times, 'You don't get it. You're like Mozart'. There would be a silence at the other end of the phone."
Gandolfini was born in New Jersey to Italian parents. He reportedly left a $100 million fortune on his death.