Alexei Devotchenko, 49, was discovered in his apartment in the north of the city, police told Russia news agencies.
"There is reason to suppose that the artist's death is of a criminal character," said one law enforcement source.
Mr Devotchenko was know for his roles in several popular television drama series such as "Bandit Petersburg" and "The Street of Broken Lamps" and in performances at the highly regarded Moscow Art Theatre.
Some reports said the actor was found by a friend in a pool of blood outside his home while others said he was inside the apartment.
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