37-year-old Prem Prasad Acharya, a permanent resident of Illam district, died in the course of treatment at Kirtipur Hospital on Wednesday morning.
On Tuesday, Acharya had set himself on fire in the middle of the road in front of the Nepal Parliament building, New Baneswor.
According to police, the man was rescued and rushed to Kirtipur Hospital for treatment, but succumbed to burn injuries as more than 80 percent of his body was burnt.
Before committing self-immolation, Acharya had written a long status on Facebook saying that he had taken every measure to establish a successful business but nothing worked. Acharya blamed the system of Nepal in his Facebook post.
Meanwhile, after the incident, the police appealed not to sell and distribute petroleum products in bottles and jerkins.