The 32-year-old guard identified as Inapu from Kohima shot himself at Sachin Pilot's 3, Safdarjung Road house. He was then rushed to Ram Manohar Lohia Hospital, where he was declared dead by the doctors.
The victim, who was with the Nagaland Armed Police, was on duty since 10 pm.
"He had returned from Kohima six days ago. He had been depressed over some issue," said a police official.
"Hearing the sound, all the guards rushed outside and found him in blood as the bullet pierced from lower part of his neck and came out from his head," he said.
However, no suicide note was recovered from the guard.