The Special Investigations Unit says Peterborough city police were contacted about a man with a firearm.
An SIU statement says officers located the man in his vehicle in the store's parking lot and tried to communicate with him.
The agency says a gunshot was heard from the man's vehicle and police found the man dead.
A post-mortem has been scheduled for Monday morning in Toronto.
Local media outlets reported there were several hundred of people in the store at the time.
Peterborough paramedics were called to provide assistance to any customers at the supermarket who required medical attention, but no injuries among the customers were reported.