The 63-year-old businessman was a top ally of President Jacob Zuma.
He died of a massive heart attack at a friend's home where there was a party, his friend Andrzej Kiepiela said.
Mkhwanazi had strong ANC links and helped form the Friends of Jacob Zuma Trust.
Earlier this year he offered to help Zuma repay his Nkandla debt.
He is married to businesswoman Zodwa Msimang who is away in the US, Kiepiela said.
Mkhwanazi ran the Black Management Forum in the 1980s and was the first person of prominence to promote Black Economic Empowerment.
He was involved in the KwaZulu-Natal Growth Coalition and gained controversy when, as chairman of the Central Energy Fund in the mid 1990s, appointed former Liberian finance minister Emanuel Shaw as an adviser at R3 million a year.