Connery's wife, Micheline, and his two sons, Jason and Stephane told ET that he died peacefully in his sleep, surrounded by family. The family said there will be a private ceremony followed by a memorial yet to be planned.
Jason also told the BBC that his father had been "unwell for some time."
"We are all working at understanding this huge event as it only happened so recently, even though my dad has been unwell for some time," he said. "A sad day for all who knew and loved my dad and a sad loss for all people around the world who enjoyed the wonderful gift he had as an actor."
The Scottish icon's acting career spanned five decades, including an Oscar win for Best Supporting Actor in 1988 for The Untouchables. However, he was best known for his portrayal of James Bond -- after being the first actor to bring the role to the big screen in 1962's Dr. No, he appeared in a total of seven of the spy thrillers.
Connery's other memorable film roles include The Hunt for Red October, Highlander, Indiana Jones and the Last Crusade and The Rock.
Throughout he career he was also awarded with two BAFTA Awards (one being a BAFTA Academy Fellowship Award), and three Golden Globes, including the Cecil B. DeMille Award and a Henrietta Award. After retiring from acting, he remained out of the spotlight.
Fellow James Bond star Daniel Craig said of Connery's death: "It is with such sadness that I heard of the passing of one of the true greats of cinema. Sir Sean Connery will be remembered as Bond and so much more. He defined an era and a style. The wit and charm he portrayed on screen could be measured in mega watts; he helped create the modern blockbuster. He will continue to influence actors and film-makers alike for years to come."
"My thoughts are with his family and loved ones. Wherever he is, I hope there is a golf course."