Lily Sulaiman, 27, died after shooting himself with a homemade shotgun at Kampung Patiu at about 11.30pm, said Kota Marudu district police chief Supt Mohd Isa Yusuf.
He said the man, who was unemployed, was seen as unsuitable for the girl as she was still too young. They had been dating for about three years.
It was learnt that a day before the incident, Lily and his girlfriend were preparing items and money for the dowry.
The girl's aunt had brought her to the city later the same day on June 8.
Lily was supposed to be officially engaged and marry the girl on June 9 if there were no objections from the family.
He only learnt that the girl had been taken to Kota Kinabalu the night before.
"He was very heartbroken," Supt Mohd Isa said.
He said police were still investigating the case although they have classified the case as sudden death.
Lily's body was taken to the district hospital for a post-mortem.
Those with emotional distress can contact Befrienders Kota Kinabalu at 088-255788 or via email at firstname.lastname@example.org.