Armed officers stopped a car on the A52 Bingham bypass in Nottinghamshire on Thursday morning.
After the car stopped, police found the driver, 46, had a serious head injury and he died at the scene.
His death is being linked to an inquiryprompted by the discovery of a man's body in a field in Leicestershire.
The Independent Office for Police Conduct (IOPC) said a non-police issue firearm was discovered in the car.
The watchdog said it had launched an investigation after being notified about the incident by Leicestershire Police.
The force said officers gave first aid to the man in the Mazda Tamura but he was pronounced dead at the scene shortly after 00:30 GMT.
It came after a man his 40s was found dead in an area off Highgate Lane, Plungar, on Tuesday afternoon.
A 56-year-old man from Grantham, Lincolnshire, was arrested on suspicion of murder. He has since been released while investigations continue.
A cordon remains in place along the A52 after a 13.6-mile (21.8km) stretch of the road was shut between the A46 in Saxondale and the A1 in Grantham.
On Thursday evening, National Highways said the stretch of the A52 remained shut and was "expected to remain closed until at least 12:00" GMT on Friday.
The IOPC said the coroner had been informed following the driver's death.
A statement added: "We have since declared an independent investigation, and that will consider the circumstances of the police involvement.
"Initial accounts have been provided by officers involved and we have also gathered police body worn footage for review."
Leicestershire Police has renewed their appeal for witnesses and information in connection with the Plungar murder investigation.
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A man has died after the car he was travelling in was pulled over by officers involved in a murder investigation.