Castro, 53, was found hanging from a bedsheet Tuesday night at the state prison in Orient, corrections spokeswoman JoEllen Smith said. Prison medical staff performed CPR before Castro was taken to a hospital where he was pronounced dead.
The coroner's office said it was suicide.
"He took the coward's way out," said Elsie Cintron, who lived up the street from the former school bus driver. "We're sad to hear that he's dead, but at the same time, we're happy he's gone, and now we know he can't ask for an appeal or try for one if he's acting like he's crazy."
As the shocking news sank in, prison officials faced questions about how a high-profile inmate managed to commit suicide while in protective custody. Just a month ago, an Ohio death row inmate killed himself days before he was to be executed.
Ohio prisons Director Gary Mohr announced a review of Castro's suicide and whether he had received proper medical and mental health care. State police are also investigating.
The announcement came after the American Civil Liberties Union of Ohio called for a full investigation.
"As horrifying as Mr. Castro's crimes may be, the state has a responsibility to ensure his safety from himself and others," Executive Director Christine Link said.
Through a spokeswoman, Castro's three victims declined to comment.
Castro was sentenced Aug. 1 to life in prison plus 1,000 years after pleading guilty to 937 counts, including kidnapping and rape, in a deal to avoid the death penalty. At his sentencing, he told the judge: "I'm not a monster. I'm sick."
Castro had been in a cell by himself in protective custody, meaning he was checked every 30 minutes, because of fears his notoriety could lead to attacks from other inmates, authorities said.
He was not on a suicide watch, which entails constant supervision, Smith said. She would not say why.
Officials would not say whether he left a suicide note.
Castro had been on a suicide watch for a few weeks in the Cuyahoga County jail before he pleaded guilty and was turned over to state authorities, and police said after his arrest that they had found a years-old note in which he talked about suicide. But authorities at the jail dropped the suicide watch in June after concluding he was unlikely to take his own life.
Castro's captives Amanda Berry, Gina DeJesus and Michelle Knight disappeared separately between 2002 and 2004, when they were 14, 16 and 20. They were rescued from Castro's run-down house May 6 after Berry broke through a screen door.
Elation over the women's rescue turned to shock as details emerged about their captivity. Castro fathered a child with Berry while she was being held. The girl was 6 when she was freed.