Despite threats of an onstage suicide, Allin died of a heroin overdose in New York City on June 28, 1993, in the Manhattan apartment of John Handley Hurt. He was 36 years old. His last show was at a small club called The Gas Station in New York City. Video footage of the soundcheck, concert, and aftermath is appended to the DVD release of Hated. In his last show the power went out during the second song, after which he trashed the venue and walked the streets of New York naked and covered in blood and feces, surrounded by fans whom he openly embraced. On VH1's Freakiest Concert Moments, Allin's final show ranked at number four.

After arriving at his friend's apartment, some party-goers posed for photos with Allin, not knowing that he was already dead. The next morning, some noticed that Allin still lay motionless in the same place where they had left him, and called for an ambulance. Allin was pronounced dead at the scene.

At his funeral, Allin's bloated, discolored corpse was dressed in his black leather jacket and trademark jock strap. He had a bottle of Jim Beam beside him in his casket, as per his wishes (openly stated in his self-penned acoustic country ballad, "When I Die"). As part of his brother's request, the mortician was instructed not to wash the corpse (which smelled strongly of feces), or apply any makeup. The funeral became a wild party. Friends posed with the corpse, placing drugs and whiskey into its mouth. As the funeral ended, his brother put a pair of headphones on Allin. The headphones were plugged into a portable cassette player, in which was loaded a copy of The Suicide Sessions. The video of his funeral is widely available for purchase, and is an extra feature on the Hated DVD and some bootleg VHS tapes.