The Panathinaikos fullback was discovered in the swimming pool of his house in Glyfada, southern Athens.
Police tried to resuscitate Baldock at the scene but he could not be revived and medical emergency units confirmed his death, Reuters reports.
"We can confirm that George has sadly passed away," a family statement said.
"As a family we are in shock at this terrible loss."
"We are shocked, we are shocked by the loss of our George," Panathinaikos said in a statement. "The family of Panathinaikos mourns his untimely death. We stand with the family and loved ones of George Baldock."
Baldock left Sheffield United after seven years to join Panathinaikos.
Sheffield United also expressed their shock at the news, saying: "The defender left the club in the summer after seven years at Bramall Lane and was extremely popular with supporters, staff and team-mates who pulled on a red and white shirt alongside him.
"The sincere condolences of everyone associated with Sheffield United are extended to George’s family and friends."
The Greece national team said in a statement: "With profound sadness and sorrow, the national team and the Greek Football Federation bid farewell to George Baldock.
"There are no words to describe the human pain caused by the news of the unexpected loss of one of our own, young, man. The moment forces silence. Condolences to his family. Condolences from his second family."