The Welsh Ambulance Service and Mid and West Wales Fire and Rescue Service are in attendance at the ongoing incident at Castlemartin firing range.
Confirming the soldier's death, Minister for People and Veterans, Tobias Ellwood, said a full investigation is underway.
He also said that the soldier's family were by his bedside when he died.
Today the regiment, based in Tidworth, Wiltshire, consists of three squadrons - Ajax, Badger and Cyclops - each equipped with 18 Challenger 2 battle tanks, the unit's MoD website says.
A spokeswoman from Dyfed-Powys Police said the three injured men were in a "serious condition".
One is in Cardiff whilst another is in Swansea.
Three other servicemen were injured in the incident. Our thoughts are with them.
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The Ministry of Defence confirmed the casualties, although did not specify how many, and said it is investigating the incident, which took place at the firing range.
Police and fire officers were pictured at the scene (picture by Aled Llywelyn).
The army has begun an investigation to establish exactly what happened at Castlemartin ranges in Pembrokeshire during routine training.
The Royal Tank Regiment has been training at the site in the past week.
Live firing was scheduled to take place at the range between Monday and Friday.
In 2012, a soldier with the Royal Irish Regiment named Michael Maguire was killed during a live firing exercise at the same range.





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