The Irish-born bishop was found inside the home with a single gunshot wound to the upper torso, said officials.
His death is now being investigated as a murder.
José H Gomez, the archbishop of Los Angeles, said in a statement that the 69-year-old bishop had died “unexpectedly.”
“I am very sad this afternoon to report that our beloved Auxiliary Bishop David O’Connell has passed away unexpectedly. It is a shock and I have no words to express my sadness,” he said.
“As a priest and later a bishop here in Los Angeles for forty-five years, Bishop Dave was a man of deep prayer who had a great love for Our Blessed Mother.
“He was a peacemaker with a heart for the poor and the immigrant, and he had a passion for building a community where the sanctity and dignity of every human life was honored and protected.”
Bishop O’Connell was a native of Ireland’s County Cork and was ordained to serve in the Archdiocese of Los Angeles in 1979. He was appointed an auxiliary bishop by Pope Francis in 2015.