The 35ft-long, six-ton whale, which was 27-years-old, died after the sudden onset of pneumonia in the Taknes fjord in Norway.
In the wild, orcas can live an average of 35 years. Keiko, which means Lucky One in Japanese, was originally found ailing in a Mexico City aquarium in 1993.
He was rehabilitated at the Oregon Coast Aquarium, then airlifted to Iceland in 1998. His handlers there prepared him for the wild, teaching him to catch live fish in an operation that cost about £300,000 a month.
Keiko was released from Iceland in July 2002. He swam straight for Norway, a 870-mile trek that seemed to be a search for human companionship.
Keiko first turned up near the village of Halsa in August 2002. He allowed fans to pet and play with him, even crawl on his back, becoming such an attraction that animal protection authorities imposed a ban on approaching him.
Nick Braden, a spokesman of the Humane Society of the United States, said vets gave Keiko antibiotics after he showed signs of lethargy, but it wasn't apparent how sick he was.
"They really do die quickly and there was nothing we could do," he said. Braden added: "It's a really sad moment for us, but we do believe we gave him a chance to be in the wild."
David Phillips, executive director of the Free Willy-Keiko Foundation, said Keiko's plight changed public perception of whether a whale could be returned to the wild. "We took the hardest candidate and took him from near death in Mexico to swimming with wild whales in Norway."
Keiko's stardom came from the three Free Willy films, in which a young boy befriends a captive killer whale and coaxes him to jump over a sea park wall to freedom. That launched an ongoing £15 million drive to make Keiko the first orca truly returned to nature.