While the city's medical examiner has not officially pronounced the actress' cause of death, her body was found hanging in her bathroom shower and that led area police officials to label the death as a possible suicide, The New York Post reported.
Shelly, also a film director and screenwriter, reportedly made numerous comments during her career referring to her belief she would not live a long life.
The actress recently appeared in the film "Factotum" alongside actor Matt Dillon and was set to release her directorial debut entitled "Waitress."
Officials were investigating shoe prints found near the bathtub where Shelly died and why the actress did not leave a suicide note.
The Post said that Shelly is survived by her husband, marketing exec Andrew Ostroy, and a 3-year-old daughter, Sophie.