The final two years of Asgill's life were spent at the home of his mistress, Mary Ann Goodchild, otherwise Mansel—who was also mistress to General Robert Manners—at 15 Park Place South, near The Man in the Moon, Chelsea. Two codicils to his will were written and signed there shortly before his death. Asgill died on 23 July 1823, and was buried with his wife in the vault at St James's Church, Piccadilly on 1 August. Upon his death, the Asgill baronetcy became extinct. Most biographies claim he died without issue, but the 1825 edition of "A New Biographical Dictionary of 3000 Cotemporary Public Characters" states Sophia bore him children.