Waldron moved from Munich to Brussels in the 1990s, stating that, in Belgium, "nobody stands on the corner waiting for the lights to change. In Germany they watch the lights instead of the cars. The lights never killed anybody." From the mid-1990s, Waldron traveled to the U.S. less frequently, put off by no longer being allowed to smoke in many of the jazz clubs there. Around the same period, Waldron recorded several albums with vocalist Jeanne Lee. Two of his final recordings were duets with saxophonists who tended, as he did, to play in melodic and free forms: David Murray and Archie Shepp. After some years of indifferent health, Waldron, a heavy smoker, was diagnosed with cancer in 2002. He continued to perform until his death on December 2 of that year in a hospital in Brussels, due to complications resulting from the cancer. He was 77, and had played his final concert in Lille two weeks earlier.