The Oilers announced the news in a statement from Cave’s wife, Emily.
“It is with great sadness to share the news that our Colby Cave passed away early this morning,” the statement read.
“I (Emily) and both our families are in shock but know our Colby was loved dearly by us, his family and friends, the entire hockey community, and many more.
“We thank everyone for their prayers during this difficult time.”
Cave had been placed in a medically-induced coma on Tuesday in Toronto, where doctors removed a colloid cyst which was causing pressure on his brain.
His wife later said that the family needed “a miracle” for him to pull through, before confirming the sad news on Saturday that he had passed away.
Cave’s death is not being linked to the current Covid-19 pandemic, according to the player’s agent.
Canadian forward Cave was signed by the Boston Bruins as a rookie before making the switch to the Oilers at the start of 2019.