The student visa held by Jean Charles de Menezes ran out more than two years ago and a passport stamp giving him permanent permission to remain in the country appeared to have been forged.
The Home Office statement last night follows days of speculation over Mr de Menezes' immigration status. The dead man's family have repeatedly insisted that he was in the country legitimately.
The disclosure could explain why Mr de Menezes, 27, fled when ordered to stop by undercover officers who pursued him on to a train at Stockwell Tube station last Friday. An inquest this week heard he died after being shot eight times, including seven bullets to the head.
The Home Office said he arrived in Britain on 13 March 2002, initially being granted a six-month visitor's visa. He then applied to stay on a student visa, receiving permission to remain until 30 June 2003.
It said it had no record of any further correspondence. A spokeswoman added: "We have seen a copy of Mr de Menezes' passport, containing a stamp apparently giving him indefinite leave to remain in the UK. On investigation, this stamp was not one that was in use by the Immigration and Nationality Directorate on the date given."
An investigation into the killing has been opened by the Independent Police Complaints Commission. Members will be at Stockwell station this morning to appeal for witnesses.
The Home Office spokeswoman said: "We wish to repeat the Government's deep regret at his tragic death. This information is not intended in any way to prejudice or influence the independent investigation into the circumstances of Mr de Menezes' death, or any possible future proceedings."
Mr de Menezes' body arrived at Sao Paolo airport in Brazil yesterday. Relatives wept as the plane containing his coffin touched down. His cousin, Katia da Silva, 24, spoke of a "loving", "honest" man, who longed to return home.
"The last time he called I picked up the phone and he asked to speak to my mum. He said he was fine, even though he was so far away. He said he was working lots but that he missed Brazil so much. He wanted to come back and visited the waterfalls, to be with his family," she told The Independent.
A convoy of cars left the airport and began a slow procession back to his home town Gonzaga, 55 miles away. By the time the corpse had arrived in Gonzaga, thousands had gathered. A brass band played the national anthem and protesters marched through the streets waving Brazilian flags. A banner hanging from a second-floor window read: "22 July: The day Terror came to Gonzaga."
Jean Charles' parents, Maria Otoni de Menezes and Matozinho Otoni da Silva, were not present at the airport. Relatives said they were too tired to make the journey and were taking heavy medication.
Speaking earlier, his mother said: "I don't want to see any more tears. I want prayers and I just want justice and punishment. I am proud to say that my son was murdered but he died an honest man."
Mr de Menezes' funeral will takes place at 3pm today, local time. Gonzaga's mayor has declared a public holiday in the city and thousands are expected to attend the ceremony.