Speed's first game as Wales manager was 8 February 2011 in the inaugural Nations Cup, which the Republic of Ireland won 3–0. Speed's first competitive match was the Euro 2012 qualifier at home to England 26 March 2011 and Speed appointed twenty-year-old Aaron Ramsey captain, making Ramsey the youngest ever Wales captain. Wales lost to England 2–0, and in August 2011 Wales attained their lowest ever FIFA ranking of 117th. This was followed by a 2–1 home win against Montenegro, a 1–0 away loss to England, a 2–0 home win against Switzerland and a 1–0 away win against Bulgaria. Consequently, in October 2011, Wales were ranked 45th in the world by FIFA. Speed's last game as manager of Wales was on 12 November 2011, a 4–1 home win in a friendly match against Norway. On 21 December 2011, the day of the final FIFA rankings of the year, Wales were awarded the title of 'Best Movers' of the year having gained more ranking points than any other nation in 2011.
On 26 November 2011, Speed appeared as a guest on the BBC One television programme Football Focus, with presenter Dan Walker later describing Speed as being in "fine form". After the programme finished at 1 pm, Speed chatted to various other pundits at the MediaCity studios in Salford before joining former Newcastle United teammate Alan Shearer to watch their old club play against Manchester United at Old Trafford, a short walk from the studios across the Manchester Ship Canal. After the match ended, at 5 pm, Speed drove home to Huntington, Cheshire, about an hour's drive from Old Trafford.
The following morning, just before 7 am, his wife Louise found his body hanged in the garage of his home. She telephoned the ambulance service at 7:08 a.m. and the police were also informed. They confirmed that he was dead and they announced that they were not treating his death as suspicious. Although the facts were not fully established, it was reported that Speed's death had been a suicide. His death was announced to the public by the Football Association of Wales a few hours later. An inquest into Speed's death convened on 29 November 2011. The inquest was adjourned until 30 January 2012.
Speed's funeral, attended by around 250 members of his family and close friends took place in the village of Hawarden on 9 December 2011. In keeping with his wife Louise's wishes, only small crowds gathered on the main road outside St Deiniol's Church and no members of the press were admitted. Speed was later cremated in Pentre Bychan Crematorium, Wrexham.