Police attended Vine Court in Robinvale, near Mildura after reports a man wanted by police for a number of assaults and threats was at an address shortly before 5.30pm.
After entering the home, police say they were confronted by the 35-year-old man who was armed with a knife.
The armed man was pepper sprayed by police and taken into custody before he appeared to become unresponsive.
“Attending officers immediately called for medical assistance and performed CPR on the man, however he couldn’t be revived,” a Victoria Police spokesperson said.
The death will be investigated by detectives from the homicide squad.