Mr Roy was crossing the Teesta river in West Bengal state when he had a "massive heart attack."
The 50-year-old a police driver had set up the 600ft zip wire from the Coronation Bridge 70ft above the river.
He already held the Guinness World Record for travelling the farthest distance on a zip wire using hair.
A large number of people had gathered on the bridge to watch the feat, and eyewitnesses said that Mr Roy appeared to make no progress after getting about half way.
Balai Sutradhar, a photographer, who was covering the stunt, said: "He was desperately trying to move forward. He was trying to scream out some instruction. But no one could follow what he was saying. After struggling for 30 minutes he became still."
He was wearing a life jacket, but there were no emergency services or doctors at the spot.
Police said he was hanging for nearly 45 minutes before he was brought down, and doctors at the hospital where he was pronounced dead on arrival said he had suffered a "massive heart attack".
A friend, who preferred to remain anonymous, said: "His wife used to urge him to quit doing dangerous stunts. Mr Roy convinced her that crossing the Teesta river would be his last. Unfortunately, that became his last stunt."
In 2008, Mr Roy pulled the famous Darjeeling toy train with his ponytail, and in 2007 he flew from one building to another with his ponytail tied to a rope.