Twice the Horse of the Year winner, Cigar passed away after surgery at Rood and Riddle Equine Hospital.
"Cigar had been experiencing arthritis-related health issues over the past six months and was in outstanding physical and mental condition other than the osteo-arthritis he was suffering from in several of his cervical vertebrae," said Kathy Hopkins, director of equine operations for the park.
"Medical therapies had failed to relieve the pressure that the arthritis was causing on his spine, which had resulted in instability in his hind legs."
Cigar won 16 races in a row from October of 1994 to July of 1996, including the first running of the Dubai World Cup in 1996 and the 1995 Breeders' Cup Classic.
Owned by Allen Paulson and trained by Bill Mott, Cigar was ridden mainly by another horse racing Hall of Famer, jockey Jerry Bailey. Cigar was named Horse of the Year in 1995 and 1996 and voted into the Hall of Fame in 2002.
"The great champion Cigar thrilled racing fans and surely brought new ones to the sport as he compiled win after win in his incredible streak of victories," said Kentucky Governor Steve Beshear.
"An example of racing at its best, he continued to serve as an ambassador, bringing joy to countless visitors to the Hall of Champions at the Kentucky Horse Park, where he will be missed."
Cigar began his racing career in 1993 as a three-year-old but did not win his first major race until capturing the Mile at Aqueduct in November of 1994 - a race now named the Cigar Mile in tribute.
Cigar retired from racing after a third-place run in the 1996 Breeders' Cup Classic, closing his career with 19 wins from 33 starts and then-record earnings of $9 999 815.
"Cigar was an incredible horse who left an everlasting mark on the racing world," said Ted Nicholson, interim executive director of the Kentucky Horse Park.
Cigar, who was infertile, will be buried on the Memorial Walk of Champions near fellow thoroughbred legends such as Alysheba, Bold Forbes and John Henry.