A spokeswoman for the force said: "Dyfed-Powys Police were called to an incident in Llanelli relating to the behaviour and welfare of a man. A man subsequently died.
"A full investigation has commenced and Dyfed-Powys Police referred the matter to the IPCC, who will now conduct an independent investigation.
"We are fully co-operating with them. Our thoughts are with the family of the man."