Zanjani had acknowledged using a web of companies in the United Arab Emirates, Turkey, and Malaysia to sell millions of barrels of Iranian oil on behalf of the government since 2010.
Before his arrest, Zanjani had argued that international sanctions were preventing him from handing over $1.2bn still owed to the government.
But at his recent trial, prosecutors said he still owed the government more than $2.7bn in oil revenue.
He was taken into custody a day after President Hassan Rouhani ordered his government to fight "financial corruption", particularly "privileged figures" who had "taken advantage of economic sanctions" under the previous government.
The trial, unusually, was held in public, AFP news agency reports.
For years things worked well for the businessman who appeared in photos with some high-ranking officials and was not shy of showing off his wealth, such as private jets and luxury cars, Amir Azimi of BBC Persian reports.
But when the local media started to report on his wealth, he came under the spotlight and under suspicion.
The death sentence could have wider implications for Iran's economy, where many were involved in finding ways to avoid the sanctions, our analyst adds.
International sanctions on Iran were lifted in January after a watchdog confirmed it had complied with a deal designed to prevent it developing nuclear weapons.
Oil minister Bijan Zanganeh has urged foreign investors to avoid middlemen, whom he describes as "corrupt parasites".
Zanjani was convicted of "corruption on earth", the most serious offence in Iran's criminal code.
Other wealthy individuals have been executed after being found guilty of similar charges.