Academics also suggest women experience worse effects than men.
They collected data from 26,515 people over 14 years, and found a range of negative consequences experienced by those who had a close friend die.
In the four years after a death, significantly adverse wellbeing was found in people both physically and psychologically.
Dr Liz Forbat, of Stirling University, said: "Much of the previous research around grief and bereavement has focused on the death of an immediate relative, often a spouse.
"We all know that when a partner, child or parent dies that the bereaved person is likely to grieve and feel worse for some time afterwards.
"The impact of the death of a friend, which most of us will experience, is not afforded the same sense of seriousness.
"There are pronounced declines in the health and wellbeing of people who'd had a friend die in the previous four years, yet employers, GPs and the community aren't focused on providing support to bereaved friends."
For women who experienced the death of a close friend there was a sharper drop in vitality, and they suffered a greater deterioration in mental health, the researchers found.
Dr Forbat added: "The death of a friend is a form of disenfranchised grief - one not taken so seriously or afforded such significance.
"This means their grief might not be openly acknowledged or expressed, and the impact trivialised.
"This research proves that the death of a friend matters and, as a universal human experience, the findings are applicable internationally.
"Our study suggests there is a need to ensure that services are available to assist people who have experienced the death of a friend, to help them develop necessary support networks."
The research - Death of a Close Friend: Short and Long-term Impacts on Physical, Psychological and Social Well-being - was carried out by Stirling University and Australian National University, and is to be published by scientific journal Plos One.