An openly gay mayoral candidate has been found dead in mysterious circumstances in the southern US state of Mississippi.

Police said they were treating the death of Marco McMillian, 34, an Afro-American Democrat candidate who was running for mayor of Clarksdale, as murder.

Police found McMillian's body near a Mississippi River levee. One man, identified as Lawrence Reed, 22, of Clarksdale, was taken in for questioning but had not been charged.

"There's a lot of people upset about it," said local resident Dennis Thomas. "Why would somebody want to do something like that to somebody of that calibre? He was a highly-respected person in town."

Police started searching for McMillian after his SUV, reportedly driven by Reed, was involved in a head-on collision with another vehicle.

McMillian's body was discovered about 24 hours later, not far from the scene of the accident.

According to member of his campaign staff, McMillian was the first openly gay candidate to have ever run for public office in the the Mississippi Delta, a region known for its racist past.

"Our hearts go out to the family and friends of Marco McMillian, one of the first viable openly LGBT candidates in Mississippi," the Gay & Lesbian Victory Fund and Institute tweeted.

McMillian had previously worked to raise awareness about the impact of HIV and Aids on black communities and pictures of him posing with a young Barack Obama and former US president Bill Clinton were posted on his Facebook page.

"Words cannot describe our grief at the loss of our dear friend," McMillian's team wrote on the campaign Facebook page.

"The shocking news of Marco's death is beyond difficult for us to process. We remember Marco as a bold and passionate public servant, whose faith informed every aspect of his life. Tragically, that life has been cut short."