Bernard Kenny, a 79-year-old former miner, died on Monday following a battle with cancer, his son Phil said.
He was awarded a George Medal for his courage in trying to fend off the attack by the right-wing extremist Thomas Mair in Birstall, West Yorkshire, in June last year.
Mr Kenny was stabbed and seriously injured - and could have died but recovered, shunning publicity in the aftermath of the murder.
Timeline of events surrounding Bernard Kenny's desperate and brave bid to save murdered MP Jo CoxIn a statement on behalf of the Cox family, her sister, Kim Leadbeater, said: "It was with deep sadness that we heard from Bernard Kenny's son, Phil, that his dad had passed away on Monday.
"Having kept in touch with the Kenny family since Jo's murder, we were aware of his illness.
"Bernard was a true hero and a shining example of Yorkshire and British bravery.
"He restored our faith in humanity and we will be forever grateful for the attempt he made to intervene when Jo was killed.
"Our thoughts and love are with Doreen, Phil and the whole Kenny family and with Bernard's many friends at this time."
Her widower, Brendan Cox, tweeted on Tuesday: "Bernard Kenny was a hero, he personified the best of our country; risking his own safety to help others.
"Our thoughts and love are with his family."
Tracy Brabin, who was elected MP for Batley and Spen after the death of Mrs Cox, said: "My heartfelt condolences go out to Bernard's family at this sad time.
"I hope they will take comfort in the fact that Bernard will forever be remembered as a true hero, both as a member of the miners' rescue team and as a constituent of Batley and Spen who risked his life to protect Jo Cox.
"Bernard was brave and selfless, we will never forget him."
Phil Kenny, a retired geography teacher who by coincidence taught Mrs Cox, said his father died with his wife Doreen by his side.
Mr Kenny told the Huddersfield Daily Examiner his father was an "excellent bloke".
He revealed the keen Huddersfield Town fan had seen the side win their play-off final to get promoted to the Premier League but was not well enough to see them win their first game of the season and briefly top the league.
He said he played radio commentary of the game and had read his unconscious father reports of the game and hoped he was well enough to understand.
At Mair's trial at the Old Bailey, the jury heard the pensioner was waiting for his wife outside the library in Birstall when he saw Mair going "berserk".
He said in a statement to police: "I thought if I could jump onto the back, I could take him down.
"I thought he was thumping her until I saw the blood. I saw he had a knife in his hands. It was what I call a dagger. The blade was about nine inches.
"Just as I got short of him, he turned around and saw me. He shoved the knife in and it hit me in the stomach.
"The blood started pouring out between my fingers. I saw the blood and I thought 'Oh my God'."
Mr Kenny described Mair's actions as a "pure act of evil".
After the attack, more than 80,000 people signed an online petition calling for Mr Kenny to be awarded the George Cross for his bravery.
Mr Kenny, who shared a birthday with Mrs Cox, worked as a miner for 40 years and is a former member of the Gomersal Mines Rescue team which tried to save victims of the Lofthouse mine disaster in 1973.
Neo-Nazi Mair was given a whole life sentence for the murder of Mrs Cox, and was also found guilty of causing grievous bodily harm to Mr Kenny and possession of a gun and dagger.