Yes. By the standards of people who died in NKVD custody during the Stalin era, huge amounts are known.
On January 13, 1945, Soviet troops take 16 Benczúr Street in Budapest, where the Red Cross transportation unit was located. Here, the troops 'encounter' Wallenberg. On that day a report is sent from a Dimitrenko at the Soviet 151st Rifle Division to the head of the political unit of the 7th Guards Army, detailing that Wallenberg surrendered himself and had been detained. It also says that he'd handed over a telegram in German which he asked to be forwarded to Stockholm. A handwritten note on the report says "18= to Afonin: for the time being - do not send the telegram anywhere".
On January 14, Kupriyanov at the 7th Guards issues an order that Wallenberg be transferred to Major-General Afonin of the 18th Rifle Corps. A note written on the telegram says "He was arrested on January 13 on Benczúr street, the other embassy workers are in the western part [of Budapest]: he refused to leave the front after stating that 7000 Swedish citizens were under his ward and protection in the city's eastern part".
Chief of staff Zakharov of the 2nd Ukrainian Front telegraphs his counterpart at the 3rd front, and the Chief of General Staff Antonov on January 15 informing them that Wallenberg was encountered at Benczúr Street and that he and his property were being guarded. Based on these reports, Deputy Chief of Foreign Affairs Dekanozov notifies the Swedish embassy in Moscow on January 16 that Wallenberg has been taken into custody by Soviet troops.
The Soviet Ministry of Defense archives also have an order for Wallenberg's arrest dated January 17 from Deputy Minister of Defense Nikolai Bulganin to Rodion Malinovsky, commander of the 2nd Ukranian Front, with a copy to the head of SMERSH Viktor Abakumov. Bulganin orders that Wallenberg be taken to Moscow and states that instructions have been given to SMERSH. Bulganin sends another order the same day, for the arrest of the Swiss diplomats Max Meier and Harald Feller, as well as the slovak emissary Ján Spišák who "like Wallenberg" should be sent to Moscow by SMERSH.
A SMERSH report from January 22 has a list of embassy addresses in Budapest, claimed to be from the arrested/detained (задержан) Wallenberg. There are other messages placing his formal arrest to January 19.
Another message from Zakharov to Bulganin reports that Wallenberg was sent to Moscow on January 25, and that the head of the convoy was named Zenkov.
A prison registry card for the notorious Lubyanka prison in Moscow states that Wallenberg was admitted on February 6. Another shows his driver Vilmos Langfelder being admitted the same day.
There were at least a half-dozen accounts from released foreigners witnessing Wallenberg's presence at Lubyanka, including his cell-mate Willy Roedel.
There is far less documentation about his ultimate fate. The main document is the Smoltsov report, signed by Smoltsov, head prison doctor at Lubyanka and directed to Minister of State Security Viktor Abakumov. It states that prisoner "Valenberg" died on the night of July 17 1947, "likely due to a myocardial infarction". The report mentions that Wallenberg is known "to you" (Abakumov) and due to instructions giving Abakumov personal oversight over "Walenberg" Smoltsov requests instructions on who should perform the autopsy to determine the cause of death. A diagonal note written across the lower left corner of the report states "Have personally informed the minister. Order has been given to cremate the body without autopsy. 17.7 Smoltsov"
However the report was not forwarded after that but kept with Smoltsov's papers. This was ultimately released to the Swedes in 1957, the blame for Wallenberg's imprisomment and death was put on Abakumov. This became the official Soviet narrative until the very last months of its existence. In September 1991, a joint Swedish and Soviet Government (Russian Government 4 months later) work group was put together to fully document Wallenberg's fate, with full access to the KGB archives and 'leaving no stone unturned'. All material related to that investigation is public, the final report was issued in 2001, and is here. (in Swedish though) That's where I've sourced most of this. It has appendixes with editions of primary sources too if you can find the paper version, for some reason it's not in the PDF. Among other things, forensic laboratories in both countries tested the authenticity of the Smoltsov report, both finding it o be genuine. There's also tons in there about the whole diplomatic situation surrounding the case and how that played out.
Prior to that there are other documents in Soviet archives; an internal memo dated April 28 1956 from Foreign Minister Molotov and KGB Director Serov to the Central Comittee, states that the witness accounts presented by the Swedish government are in accordance with the true circumstances surrounding Wallenberg's arrest and imprisonment. Serov and Molotov recommend "telling the Swedes about Raoul Wallenberg's fate".
Of course the suspicion has always been that Wallenberg was executed in Lubyanka. No direct evidence of this was found, but several former KGB officers, including the high-ranking Pavel Sudoplatov testified to the international work group that he may have been poisoned by Grigory Mairanovsky, who developed poisons for the KGB.
Another such account came to light a few years ago when the aforementioned KGB Director Serov's daughter Vera Serova came forward. Serov became KGB director in 1954, well after Wallenberg's death. According to the diary Abakumov, who was imprisoned at the time (later executed) confirmed to Serov that Wallenberg had been 'liquidated' on orders from Stalin and Molotov. Serov also wrote that he enquired with Mairanovsky and his staff who confirmed they'd liquidated several foreigners 1946-47 but didn't remember any names.
One can question this source of course, it's not been given a forensic exam or anything. And is it trustworthy? Offhand it seems so, given the provenance, that it's just a small part of thousands of papers, and that the content really just underlines claims and suspicions that already existed, even if it does contradict the blame-Abakumov narrative that was the official story during Serov's tenure. Anyway, not exactly a "Hitler Diaries" kind of situation.
Raoul Wallenberg died in Soviet custody, at Lubyanka on July 17th 1947, or at least that week since there is no record of him after that. We may never know whether or not he died of natural causes. But apart from that, everything else is pretty clear. (Edit: I mean, not that there aren't tons of outstanding questions. There always are! I just mean we can be quite certain of Raoul's arrest and demise)