Exley died, aged 45, on April 6, 1994 while attempting to descend to a depth of over in a freshwater cenote, or sinkhole, called Zacatón in the state of Tamaulipas, Mexico. He made the dive as part of a dual dive with Jim Bowden, but Bowden aborted his descent early when his gas supply ran low. Exley's body was recovered when his support crew hauled up his unused decompression tanks. It was found that he had looped into the descent line, perhaps to sort out gas issues. His wrist-mounted dive computer read a maximum depth of .