The serviceman was pulled out of the water near the mouth of the Hudson River on Sunday, and declared dead at the nearby Jersey City Medical Center a short time afterwards.
Rear Admiral Jack Scorby told the media that the skydiver was a member of Leap Frogs, the US Navy SEAL elite demonstration team.
The man's "parachute did not open," Scorby told reporters outside of the hospital, without providing details on the case. The victim was not named, pending notification of his family.
'We're not sure where he came from'
Thousands of people witnessed the accident during the aerial exhibition on Sunday. The show was part of Fleet Week, an annual festival dedicated to the US armed forces which involves dozens of warships and thousands of troops.
Bjoern Kils of Jersey City said he was sitting in a boat during the skydiving demonstration, focusing on three Leap Frogs who successfully landed after jumping out of a helicopter.
"Almost the same time that they touched down in Liberty State Park, we heard a splash and turned around very quick. I saw the water splash, and apparently there was a fourth parachutist," said the 37-year-old.
"We're not sure where he came from. We didn't see him exit the same helicopter and apparently the chute did not deploy."
The US Coast Guard and local fire department employees tried to resuscitate the man, but with no success.
Authorities said that the cause of the apparent parachute malfunction was under investigation.
dj/jm (AP, Reuters)