Maj. Stephen Del Bagno crashed at about 10:30 a.m. over the Nevada Test and Training Range after departing from Nellis Air Force Base, a news release said.
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"We are mourning the loss of Major Del Bagno," said Brig. Gen. Jeannie Leavitt, 57th Wing Commander. "He was an integral part of our team and our hearts are heavy with his loss. We ask everyone to provide his family and friends the space to heal during this difficult time."
The pilot's death prompted the cancelation of the Thunderbirds' participation in this weekend's March Field Air & Space Expo in Riverside County.
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"It is unknown how this accident will impact the remainder of the 2018 Thunderbirds season," the Air Force statement said.
The cause of the accident remains under investigation.
ABC News contributed to this report.