Police said they found the body of the 26-year-old lying in a alleyway Friday in the city's Longwood Manor neighborhood, lying face up with a revolver nearby, the Chicago Tribune reported Saturday.
Marks, 26, was a finalist on Season 3 of the Fox reality television show.
The report of Marks' death came just three months after he had a confrontation with Chicago police in which he allegedly claimed he was possessed by "MasterChef" judge Gordon Ramsay and had been transformed into God. He was arrested at the time and was hospitalized for treatment.
Relatives of Marks, who were on the scene of the incident Friday, told police he suffered from schizophrenia and bipolar disorder, the Tribune said.