A mass shooting in Mississippi has left eight people, including a police sheriff's deputy, dead.

Shots were fired across three different homes in rural Lincoln County and police confirmed they were gathering evidence from all three locations.

A male suspect, who has been identified as Willie Cory Godbolt, aged 36, was detained on Sunday (28 May) and is now in police custody.

Mississippi Bureau of Investigation said it was too early to discuss a motive for the killings, however the Clairon-Ledger managed to record a video with the suspect speaking as he was being arrested by police.

"I ain't fit to live, not after what I done," Godbolt said.

Godbolt said he was talking with his wife and members of her family when somebody called authorities.

"I was having a conversation with her stepdaddy and her mama and her, my wife, about me taking my children home," the man said in the video.

"Somebody called the officer, people that didn't even live at the house. That's what they do. They intervene.

"They cost him his life," the suspect said, apparently in reference to the slain deputy. "I'm sorry."

The suspect also said he did not intend for police to capture him alive.

"My intentions was to have God kill me. I ran out of bullets," he said. "Suicide by cop was my intention."

Governor Phil Bryant issued a statement asking state residents to pray for the victims. He also noted the "sacrifice" made by law enforcement officers to protect and serve their communities.

"Every day, the men and women who wear the badge make some measure of sacrifice to protect and serve their communities. Too often, we lose one of our finest. I thank the law enforcement agencies involved for their hard work," Bryant said.