The soldier, who was on a period of leave without pay at the time, was not on active duty with the Defence Force.
"At this early stage, there is still more information to be gathered in order to understand the circumstances fully," NZDF said in a statement this afternoon.
"The New Zealand Army will work closely with the family of the soldier to offer support at this deeply sad time."
The war in Ukraine has raged for about six months since Russia invaded the eastern European country in February.
Most of the Russian and Ukrainian forces are conсentrated in the Donbas, the industrial region of mines and factories in the nation's east.
Ukraine has vowed to drive the Russians from the territory they have seized since the start of the invasion.
Earlier this month, Prime Minister Jacinda Ardern announced a further 120 NZDF personnel would be deployed to the United Kingdom to help train Ukraine soldiers to fight against Russian forces.
It adds to the 30 personnel sent over in May to train Ukrainian military personnel in operating artillery and more than $40 million provided in financial support.
"New Zealand has been clear that we will continue to answer the call of Ukraine for practical support as they defend their homeland and people against Russia's unjustified invasion," Ardern said.
