In a statement, MFAT said consular assistance was being provided to the person's family.
In Saudi Arabia, nearly 2 million Muslim pilgrims have been finishing hajj at the Grand Mosque in Mecca this week.
Reuters reported foreign authorities had said hundreds of people from around the world had died on their journey amid temperatures above 51 degrees Celsius.
Saudi Arabia has not commented on the death toll amid the heat.
The Australian Department of Foreign Affairs and Trade has also confirmed an Australian citizen is among the deceased.
The ABC reported Yahya Ibrahim, a Muslim Chaplain at Curtin University and the University of Western Australia, told RN Breakfast that funeral prayers had been held for the Australian, believed to be a man from Sydney.
"It is somebody who was elderly who sadly found his last moments seeking God," he said.
Causes of death were not immediately clear for all.
Egyptian medical and security sources told Reuters on Thursday that at least 530 Egyptians had died while participating - up from 307 reported as of yesterday.
Muslims are required to take part in hajj once in their life - if financially and physically capable - with it being considered one of the pillars of Islam.
It is one of the largest annual religious gatherings in the world.
