The firefighter from the Mid and West Wales Fire and Rescue Service died yesterday in a water rescue training exercise in Neyland Marina in Milford Haven, Pembrokeshire.
The 35-year-old is believed to have been killed after two boats collided during the training exercise.
His family have been informed and are being supported by officers from Dyfed-Powys Police.
An FBU spokesman said: "We are deeply saddened to learn of the loss of our brother in Wales, who tragically died carrying out routine training for water rescue.
"Our heartfelt condolences go to his family and friends at this incredibly sad time.
"Firefighters risk their lives daily to keep people safe; they prepare and train for all eventualities, and in this heartbreaking case, a colleague and friend has lost his life in this endeavour.
“No worker should ever die whilst fulfilling their role.
"We will be investigating the causes and circumstances of this death to ensure that lessons are learnt.
"The FBU will do all it can to support the bereaved family.”
The Marine Accident Investigation Branch and police are investigating the cause of the incident.
A Coastguard spokesman said it was asked to assist "following a report that two fire rescue vessels had collided while on exercise near Neyland in the Milford Haven area".