The show was following Ross and his canine compaion as they travelled 5,600 miles accross the Trans-Siberian railway, from Moscow in the west of Russia to the eastern coast.
While the star has yet to speak out in detail on the matter, the Sunday Mirror reports that Mr Pickles, a black pug, died whilst on a train in the Russian capital.
A source close to Ross said: “One of the things Jonathan was really looking forward to after he left the BBC was getting to do a few more off-the-wall productions. Top of his list was this trip with Mr Pickles."
“He was incredibly devoted to Mr Pickle. Jonathan doesn’t really like talking about it so the details are a little sketchy, but it seems he died while on the train."
“To say Jonathan was devastated is an understatement, he was totally distraught.”
The inconsolable TV presenter was given the option to continue the journey alone, but is understood to have opted against it, finding the journey too traumatic alone.
Earlier today Ross tweeted: "Many thanks to everyone for the kind words. Still a bit too upset to really talk about it but thanks to all."