The Naval Criminal Investigative Service said in a statement: "The remains of the deceased detainee are being treated with the utmost respect.
"A cultural adviser is assisting the Joint Task Force to ensure that the remains are handled in a culturally sensitive and religiously appropriate manner."
It said the Naval Criminal Investigative Service had begun an investigation.
In Washington, Jumana Musa, Amnesty International's advocacy director, said news of another suicide at the detention camp was not surprising.
"When you look at the conditions that people are in, so many people are in isolation so many people held without any kind of certainty.
"It's a really extreme result of what's a really extreme situation."
Al-Amry is the fourth detainee to die of apparent suicide at the detention camp, which opened in January 2002 and holds about 380 "foreign terrorist" suspects on the US naval base prison camp.