The Punjab police say they are yet to confirm whether this was an accident or suicide.
Mr Sandhu, 50, was at a college in Jaitu, where students had gathered to protest the thrashing of two students in an alleged case of moral policing.
In the video, the officer is seen weaving through a crowd of slogan-shouting students while arguing with them.
A fight had erupted between two groups of students, with one group accusing the police of favouring the rival group. Mr Sandhu allegedly lost his temper when some students "questioned his integrity", according to an official who was at the spot.
Suddenly, there was a loud bang and Mr Sandhu crumpled to the ground. The officer was taken to hospital, where he died.
Another policeman was wounded when the bullet pierced through Mr Sandhu's head and hit him.