The duo first met on the sets of The King and I and tied the knot in 1983. They had been together for two years when Yul Brynner took his last breath. Death. On October 10, 1985, Brynner died of lung cancer in New York City. He was a chain smoker. A few days after his death, anti-cigarette public service announcement was shown on all the major US TV networks and in many other countries. Net Worth. Yul Brynner was one of the successful Hollywood actors of his time; he had a net worth of $10 million. His movies earned big at the box office, Port of New York made $1748000, Anastasia made $1082000, and The Journey made $692,000 and among others.