Mr Castellanos was abducted along with two other people from a bar early on Sunday, just hours after he crowned the winner of the Miss Sinaloa contest.
The two other people were later freed but Mr Castellanos' body was found in a stolen car riddled with bullet holes.
The motive behind the killing is still unclear.
Witnesses said Mr Castellanos first attended a party with the Miss Sinaloa contestants before moving on to the bar from which he was abducted.
Abductions and murders are not uncommon in the state of Sinaloa, the birthplace of Mexico's infamous drug lord, Joaquin "El Chapo" Guzman.
Sinaloa's murder rate has gone up since Guzman was recaptured in January.
Analysts say the rise is down to rival gangs trying to wrest control of the region from Guzman's cartel.
The director of the Miss World pageant in Mexico, Hugo Ruben Castellanos, has been killed in the city of Culiacan in north-eastern Sinaloa state.