Ian Squire, 57, from Shepperton and three British colleagues were kidnapped last month in Delta State.
On Monday, the Foreign Office confirmed that Alanna Carson, David Donovan and Shirley Donovan had returned home safely to the UK but that Mr Squire had died while still a hostage.
While the Foreign Office did not disclose how Mr Squire died, they released a statement confirming he had been "killed".
A Foreign Office spokesperson told Premier in a statement: "We are supporting the families of four British people who were abducted on 13 October in Nigeria, one of whom was tragically killed.
"This has clearly been a traumatic time for all concerned, and our staff will continue to do all we can to support the families.
"We are grateful to the Nigerian authorities, and are unable to comment given the ongoing nature of their investigations."
However security sources told Punch, which is a Nigerian newspaper that Mr Squire died of an asthma attack and was not killed by his abductors.
The sources added that he died even before his colleagues were freed.
One of the sources, which wished to remain anonymous, told the paper: "Unfortunately, one of the male victims who is asthmatic and diabetic at the same time, died while in captivity as a result of complications from his ailments.
"Squire was not killed by the militants. He died while in captivity around a bush within Bayelsa and Delta states. It's an unfortunate situation. We're not aware if any ransom was paid."
The newspaper said it had been unable to have the details confirmed by the Delta State Police Command.
Meanwhile, The Times have reported that David Donovan and his wife Shirley who were two of the missionaries kidnapped, had survived a previous kidnapping in Nigeria.
There has in recent years been a surge in efforts to tackle militancy in the Niger Delta region in Southern Nigeria.
Rev Dr Christopher Udoh from the Christ Mandate Gospel Church International in Akwa State, which is in the Delta region told Premier's News Hour last month that he believed all the kidnapped missionaries, would be released.
Speaking during News Hour, he explained: "Definitely some years back we used to experience kidnapping and I want to believe it was very political. The young men were using it as a means of getting money.
"For about two years now... there has been a level of peace enjoyed by us here in the Niger Delta region of Nigeria.
"I am very, very confident that the missionaries will be released and the culprits definitely will be arrested."
The Nigerian authorities said that they arrested four people in connection with the hostage-taking.
Listen to Rev Dr Christopher Udoh speaking with Premier's Eno Adeogun:
