Michael Blosil, one of Osmond's eight children, jumped from his downtown Los Angeles apartment building.
Law enforcement sources tell TMZ Michael left behind a note that said he intended to commit suicide due to a life-long battle with depression.
An autopsy will be performed and toxicology tests will be taken.
Donny Osmond released a statement that says: "Please pray for my sister and her family."
Donny and Marie canceled their show at the Flamingo Las Vegas tonight.