Spencer Beynon, 43, was Tasered by officers in Llanelli on Tuesday after concerns about his behaviour.
An Independent Police Complaints Commission investigation is underway.
"I will work with the force and the IPCC over the coming weeks to understand fully the circumstances," said commissioner Dafydd Llywelyn.
The force referred the matter to the police watchdog following the incident at Maes y Bwlch in the Morfa area of Llanelli, Carmarthenshire.
Witnesses said Mr Beynon had stabbed himself and a dog with a kitchen knife before police used the stun gun on him.
Mr Beynon was a former member of The Royal Welsh regiment who toured Iraq and Afghanistan and served in the Army for 15 years.
He was later diagnosed with post-traumatic stress disorder.
The IPCC said police officers were called by a member of the public who had become concerned about the welfare of the man who appeared to be injured.
They "engaged with the man" before it is understood a Taser was discharged.
"The man became unresponsive and was subsequently pronounced dead," an IPCC spokesman added.
Speaking on Wednesday, a spokeswoman for the force said: "A full investigation has commenced and Dyfed-Powys Police referred the matter to the IPCC, who will now conduct an independent investigation.
"We are fully co-operating with them. Our thoughts are with the family of the man."
The Police and Crime Commissioner for Dyfed-Powys responded on Thursday, and stated that he would raise the matter with the force's leadership.
"It is important for the police to have the right equipment to keep our communities safe," he said.
"However, we must make sure it is used appropriately and that correct decisions are made when responding to incidents.
"This will be the basis of my questions to the chief constable."
A police commissioner says he has questions for the Dyfed-Powys chief constable after the death of a former solider.