A suspect is in custody following the shootings which occurred at three separate homes in rural Lincoln County, authorities said.
Mississippi Bureau of Investigation said three females were among the dead and two boys were found dead at a second location, while a female victim was found at a third house.
Police named the deputy sheriff as 36-year-old William Durr.
A man calling himself Willie Corey Godbolt told a local newspaper he was the suspect and the paper recorded video of a man talking as he sat with his hands cuffed behind his back on a roadside in Brookhaven surrounded by police.
He said: “I ain’t fit to live, not after what I done.”
Godbolt said he was talking with his wife and members of her family when somebody called police.
He went on: “I was having a conversation with her stepdaddy and her mama and her, my wife, about me taking my children home.
“Somebody called the officer, people that didn’t even live at the house. That’s what they do. They intervene.”
In an apparent reference to the deputy sheriff, Godbolt said: “They cost him his life. I’m sorry.”
He said he did not intend for police to capture him alive.
“My intention was to have God kill me. I ran out of bullets,” he said. “Suicide by cop was my intention.”
Police said the incident began when they received a call regarding a domestic dispute and confirmed that Godbolt, 35, had been arrested.
Mississippi’s governor Phil Bryant has decried the killings and asked for all of the state’s residents to join him and his wife in praying for those who were killed on Saturday.
Paying tribute to the dead deputy sheriff, Mr Bryant said: “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.”