Authorities have not released the identities of the victims and the suspect, The Clarion-Ledger reported.
The newspaper's website features a video clip of a man in handcuffs sitting in a road, surrounded by officers. The man, identified as the suspect, tells an interviewer that he was attempting to commit "suicide by cop."
Representatives of the Lincoln County Sheriff's Office and the Mississippi Bureau of Investigation could not be reached immediately for comment.
(Reporting By Frank McGurty in New York; Editing by Phil Berlowitz)