Baldock was reportedly found dead in his home swimming pool in Glyfada, aged just 31. There were no other details immediately available on the circumstances of his death.
The defender left England in the summer of 2024 to join Panathinaikos in the Greek Super League after a highly successful seven-year stint with Sheffield United in both the Championship and Premier League.
In an official statement, the Greek Super League confirmed the death of the 31-year-old.
"The entire Super League football family expresses its deep sorrow for the untimely loss of Panathinaikos and our National Team footballer, George Baldock, and extends its deepest condolences to his family and loved ones."
After breaking into senior football with MK Dons, Baldock earned a move to Sheffield United in 2017 and was a key part of two separate promotion campaigns - while also featuring 38 times as the Blades recorded an impressive ninth-placed finish in England's top flight in 2020.
The defender was a fan favourite at Bramall Lane having made 219 appearances, registering six goals and 16 assists.
Sheffield United paid tribute to Baldock on social media: "Sheffield United Football Club is shocked and extremely saddened to learn of the passing of former player, George Baldock.
"The defender left the club in the summer after seven years at Bramall Lane and was extremely popular with supporters, staff and teammates who pulled on a red and white shirt alongside him.
"The sincere condolences of everyone associated with Sheffield United are extended to George's family and friends."
A 12-time Greece international, Baldock had featured on four occasions for Panathinaikos this season but had not been selected for the national team's Nations League match against England at Wembley on Thursday.