While taking a break from shooting, the 54-year-old went for a swim in the Sao Francisco River in western Brazil but never came up again, according to the Globo TV network, which owns the television program.
He was found dead close to the Xingo hydroelectric power plant, trapped in rocks about 30 meters (100 feet) underwater, the Brazilian network said.
Co-star Camila Pitanga, who was with Montagner at the time, alerted search and rescue teams, including the police, fire department and local fishermen.
Shortly before, Montagner recorded a heartfelt video
with his co-stars.
"Our final journey to film 'Velho Chico,' " he says to the camera, hugging Pitanga and actor Gabriel Leone. "Ending this wonderful epic full of love, emotion, affection, friendship. What a family!"
The other actors then shout "Family!" in the video shot by Globo.
Fans of the actor took to Twitter to share their sadness at his passing.
"Go in peace Domingos, may Jesus console your family and may you be remembered forever for your art," Gaby Amarantos said.
"A lot of strength and peace for the Family of Domingos," said Thiago Soares, a dancer with London's Royal Ballet, in an Instagram photo of the two together.
A career on stage
The Sao Paolo-born actor began his career in the circus
and theater before moving into television, with some appearances in film.
One of Montagner's most memorable roles was as Paulo Alberto Ventura, president of Brazil, in the 2012 miniseries "O Brado Retumbante" for which he won a Contigo best actor award.
The actor is survived by his wife, Luciana Lima, and three children.