Footage on social media appeared to show the former leader's body wrapped in a blanket with a large wound on the side of his head.
Saudi-owned al-Arabiya television has quoted sources in former President Ali Abdullah Saleh's party as confirming he had been killed.
Saleh was once allied with the rebel Houthis, a Shiite group linked with Iran.
Houthis have recently turned on Saleh, however, and said Monday that they had killed their former ally.
The sources also say that Saleh did not die in an explosion but was shot by a sniper.
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He added: "People are excited by some of the younger players and the approach we have taken and we have got to build on that". We've got to get that period of training and recovery and freshness right".
Saleh's supporters managed on Saturday to seize control of several embassies and government buildings from the Houthis.
Saleh announced on Saturday he was ready to turn a "new page" in ties with the Saudi-led coalition fighting in Yemen if it stopped attacks on Yemeni citizens, in a move that could pave the way to end almost three years of war, Reuters reported.
Two of Saleh's associates have confirmed as has a third official from the government of Yemen's internationally recognised president, Abed Rabbo Mansour Hadi.
"We have notified the leader of the traitor and criminal militias to retract, be wise, to stop his militias from continuing committing crimes", he said, "Today is the day of the fall of the conspiracy of betrayal and treason".
Yemeni President Ali Abdullah Saleh waves to supporters in Sanaa, Yemen, before his ouster in 2011.
United Nations humanitarian affairs chief Mark Lowcock said on Friday that the Saudi-led military coalition must fully lift its blockade on Yemen, where 7 or 8 million are "right on the brink of starvation", Reuters reported.
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But even without Mr Saleh's loyalists, the rebels remain a powerful force.
Yemen has since been rocked by rebel infighting.
Saudi Arabia views the Houthis as an Iranian proxy located just next door.
At least 10,000 people have been killed in the civil war, which is viewed as a proxy struggle between Saudi Arabia and Iran.
The fighting has killed dozens of people and wounded hundreds, according to the International Committee of the Red Cross, and raised concern of further casualties among civilians.
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They talked about forging a new role for themselves as a couple, focusing on the humanitarian causes over which they first bonded. It was "just a cosy night. trying to roast a chicken and it just - just an fantastic surprise".