Following Cleveland’s retirement from political office in 1897, he played the stock market and practiced law in order to support his substantial family—though it is estimated that by 1896 he had amassed a moderate personal fortune of $350,000. He moved to a spacious house in Princeton, New Jersey, where he was treated like royalty by the town's inhabitants. He also became a trustee of Princeton University and began writing essays and political commentary, including a book—Presidential Problems (1904)—which focused on some of his most controversial decisions. He never wrote his autobiography, however. Cleveland also served on several corporate boards and gave public speeches. The death of his oldest daughter Ruth, in 1904, visibly aged the old Democrat. Some of his friends said that he never fully recovered.

Grover Cleveland died as he had lived: determined to be in control. In the grip of a gastro-intestinal disease complicated by an ailment of the heart and kidneys, Cleveland suffered great pain in the spring of 1908. A severe attack hit him while on vacation in late March of 1908, causing him to think that the end was near. With great secrecy, he was rushed by automobile to Princeton, where he died early on June 24. "I have tried so hard to do right" were his final words. Two days later, he was buried. Venezuela indicated that its nation's flags would be flown at half-mast. Theodore Roosevelt's eulogy compared him to a "happy warrior"—one who had served on honorable terms and who understood that the presidency was a "public trust" bestowed upon him by the people.