Local reports from the southern resort island of Phuket say a British man died after turning a pistol on himself.
The Foreign Office (FO) could not confirm the reports.
An FO spokesman said: "We are urgently working with the authorities in Thailand to establish whether a British national has died in Phuket."
The Bangkok Post, quoted a taxi driver who said the man had hailed him near a local resort and asked to be taken somewhere where he could shoot. He had shown no signs of stress while in the taxi, the driver said.
The Foreign Office says it is urgently investigating reports that a British man has died at a shooting range in Thailand.