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.
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."
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."
