The Royal Belgian Football Association (RBFA) announced the death of the Belgium Under-21 international in a statement.
Although the circumstances surrounding Malanda's death are yet to be confirmed, reports in Germany claim he was involved in a traffic accident near Porta Westfalica on Saturday.
Malanda was understood to be travelling ahead of catching a flight to South Africa to join up with the rest of the Wolfsburg squad for their winter training camp.
He had played in 10 Bundesliga matches for Wolfsburg this season and had been tipped for a big future at the club.
The RBFA statement read: "The world of football has lost a great talent. Junior Malanda passed away this afternoon at the age of 20 years.
"The Belgian Union sends its condolences to his family and loved ones."
Team-mate and fellow Belgium youth international Kevin de Bruyne took to his official Twitter account to show his grief.
Alongside a picture of himself and Malanda, he posted: "So strange to hear your friend in the morning and then hear this news. Lost a great friend way too early. RIP my friend @JuniorMalanda."
Thorgan Hazard, who lined up alongside Malanda at Zulte Waregem last season, added: "Why? I love you bro."
Wolfsburg are due to face Bayern Munich upon their return from South Africa and the German champions offered their condolences.
The club tweeted: "Stunned. Our thoughts are with the family, friends [of Malanda] and Wolfsburg."
FIFA president Sepp Blatter added: "Shocked and saddened by the tragic death of Junior Malanda. Soccer loses a great talent. My thoughts are with his family."
