Jamyang Yeshi (26) breathed his last in the Ram Manohar Lohia Hospital at 7:30 AM, Dr L K Makhija, who was treating him, said.
Yeshi had on Monday set himself on fire in Jantar Mantar where Tibetans were protesting against the visit of Hu Jintao.
At least 29 Tibetans, many of them Buddhist monks and nuns, have set themselves on fire in Tibet demanding freedom for their homeland.
He became the first Tibetan to die in India after setting himself on fire during protests.
Yeshi had sneaked into India from Tibet in 2006 and had been living in New Delhi for the past six years, activists said.