In 2003, Cheung donated HK$100,000 to the Seedling protection fund, who were holding a large-scale charity night on the 12th of March. He told his party guests to give him cash instead of presents, then he donated all of the money that he received to the fund.
Cheung died of suicide on 1 April 2003 at 6:43 pm (HKT). He leapt from the 24th floor of the Mandarin Oriental hotel, located in the Central district of Hong Kong Island. He left a suicide note saying that he had been suffering from depression. He was 46 years old.
Despite the risk of infection from SARS and the WHO's warning on traveling to Hong Kong, tens of thousands attended Cheung's memorial service, which was held for the public, on 7 April 2003, including celebrities and other fans, many from other parts of the world such as mainland China, Taiwan, Korea, Japan, Southeast Asia, the United States, and Canada. Cheung's funeral was held on 8 April 2003. For almost a month, Cheung's death dominated newspaper headlines in Hong Kong and his songs were constantly on the air. His final album, Everything Follows the Wind (一切隨風), was released three months after his death.