The Independent Police Complaints Commission is investigating South Wales Police actions prior to the transfer of Christopher Shapley into the care of the court and prison service before his death on 20 September 2013.
Mr Shapley from Aberdare was arrested on 17 September and was taken to Merthyr Tydfil Custody Unit. He was charged with common assault and threats to kill on 18 September and was remanded in custody before his court hearing on 19 September.
Mr Shapley was transferred to HMP Cardiff and the 43-year-old was found dead in his cell on 20 September.
IPCC Commissioner for Wales Jan Williams said: "This is a difficult time for Mr Shapley's family and friends and they have my every sympathy over their loss. Our investigators have met with Mr Shapley's family and explained what we will be investigating.
"We will seek to establish what information was available to the police to inform any risk assessments made, how that information was obtained and recorded and whether it was properly shared with other agencies.
"Our investigation will also investigate police actions and decisions, as well as relevant policies and procedures and whether these were followed."
The Prison Ombudsman will carry out an investigation into Mr Shapley's death.
Because of the South Wales Police contact with Mr Shapley before his death this was a mandatory referral under the Police Reform Act.
Mr Shapley's family have asked that the media does not contact them and respects their privacy at this difficult time.