28-year-old Anne Caudal, who was four months pregnant, went missing from a village close to Rennes in the north-west of the country in July.
Her boyfriend, Christophe Piedoux, initially took part in the extensive police search but subsequently admitted that he had killed her after an “argument that took a wrong turn.”
Piedoux was arrested with his wife, who he had falsely claimed to have divorced. It later emerged that Piedoux had lived a double life, continuing to live with both women.
She allegedly helped him to dispose of the body and subsequently directed police to the spot where the partially-burnt body had been hidden.
Piedoux was being held in the Vezin-le-Coquet prison in Brittany when he was discovered on Wednesday morning. He had not been identified as a suicide risk.
Local newspaper Ouest France spoke to the father of the murdered woman, Gilles Caudal, who said he was shattered by the news.
"I wanted a trial," he said. "That would have allowed me to look this man in the face."
He regretted that the family would never get the full answers they wanted.
"There are lots of grey areas in this case, things that we will never know and that's not easy to deal with. There are lots of questions that will remain up in the air."