The 40-year-old, who retired in 2013, was the only person on board when the plane went down.
The two-time Cy Young Award winner spent 12 seasons with the Toronto Blue Jays and four with the Phillies.
“We are numb over the very tragic news about Roy Halladay’s untimely death,” the Phillies said on Tuesday.
“There are no words to describe the sadness that the entire Phillies family is feeling over the loss of one of the most respected human beings to ever play the game.”
The Pasco County Sheriff’s Department said its marine unit found Halladay’s body, but no survivors.
“Halladay was flying his two-person plane when it went down into the water about a quarter-mile west of Ben Pilot Point in New Port Richey,” the office said.
“No may day calls were made to Tampa air traffic control. The 911 came in about 12:06 (local time).”
Halladay was selected on the All-Star team on eight occasions but never won a World Series. He threw a perfect game during the 2010 season and a no-hitter in the post-season.