Officer Matthew Ortiz, who began working for the department in late July, died while he was off-duty, West Covina police said in a statement.
While circumstances surrounding his death were not released, the initial report was suicide, according to coroner's office. An autopsy is pending.
AIR7 HD was overhead Thursday night for a large procession in his honor.
Ortiz joined the Marine Corps in 2015 and served until 2019. He then joined the Los Angeles Police Department, where he worked for three years.
He also worked for the Grand Prairie Police Department in Texas before moving back to Southern California earlier this year.
"We want to express our gratitude for the outpouring of support we have already received from our brothers and sisters in law enforcement as well as other members of the community," West Covina police said. "Your kindness, thoughts, and prayers are appreciated during this difficult time."