Pennsylvania did not keep death records at the state level prior to 1906. Some counties and large cities did keep records earlier (I have found some in Philadelphia in the 1890's and very early 1900's) and they would be among court records in the county. Earlier substitute records would be church burial records, probate records, guardianship records (for deceased male with surviving minor children), and tombstones.
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Susannah is correct in that the Commonwealth did not collect the actual records prior to 1906. The best place to go is the county courthouse for the county where the death occurred. Remember the Pennsylvania started with Philadelphia and grew out with counties such as Bucks, Chester and Lancaster. Also counties have borrowed from other counties to create new counties. So depending on the date of death you are looking for might determine the county you are searching. Please contact the State Library of PA at firstname.lastname@example.org and we might be able to assist you. You can also search our online catalog at www.statelibrary.pa.gov