Police said they found Wright, 35, in the back seat of a parked vehicle "with what appeared to be trash bags covering his body."
No arrests have been made in connection with Wright's death, and the investigation is ongoing, according to police.
Wright was reported missing to authorities Nov. 5 in Closter, New Jersey, where he had a residence.
New York City tracked the license plate on his car to a street in Brooklyn, where they found Wright.
Wright was selected by the Knicks in the second round of the 2001 draft after a standout career at Arizona, where he helped the Wildcats reach the 2001 Final Four.
Wright, a Chicago native who played with Kevin Garnett in high school, never played for the Knicks. He instead played overseas for several teams, including in France and Turkey.
The Arizona men's basketball team expressed its condolences via Twitter on Wednesday.