Julian Simpson, 30, accidentally slipped from a seventh-floor ledge of his Manhattan building to a landing on the second floor, the NYPD said.
US media reported he was playing a "trust game" with a friend when he fell.
Mr Simpson was an official representing Australia at the United Nations.
Police were called to the scene about 01:00 local time on Wednesday (06:00 GMT). Mr Simpson was taken to hospital where he was pronounced dead.
Mr Simpson had been out with his wife and friends when they returned home to view the Empire State Building, which was lit up to celebrate Australia's same-sex marriage vote result, police said.
