Cody died on January 10, 1917. He was baptized in the Catholic Church the day before his death by Father Christopher Walsh of the Denver Cathedral. He received a full Masonic funeral. Upon the news of Cody's death, tributes were made by King George V, Kaiser Wilhelm II, and President Woodrow Wilson. His funeral service was held at the Elks Lodge Hall in Denver. The governor of Wyoming, John B. Kendrick, a friend of Cody, led the funeral procession to the cemetery.