WHBQ-TV reports one person was found dead in the store and another was found dead in the parking lot.
The gunfire broke out in Southaven, the third largest city in Mississippi.
Staff were shown hugging, crying and holding hands outside the store amid a massive police presence.
Police in Southaven, Mississippi, are investigating the incident on the 6800 block of Southcrest Parkway, near I-55 and Goodman Road.
The officer was taken to the hospital in unknown condition.
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Two employees were killed Tuesday when a gunman opened fire at a Walmart store in Southaven near Memphis, local officials and witnesses say. Legan was shot dead by police officers who were working at the festival.
WREG has learned the that former employee was suspended on Monday after pulling a knife on a customer. Patterson later reported that employees of the store told her that the suspect is a "disgruntled employee", this has not been confirmed by authorities.
The Walmart is "still an active scene", Moore said, and a suspicious package was also found inside the store. Two officers encountered the suspect outside, which is when the police officer was shot. One witness, Phil Cox, told the Commercial Appeal that he thought the suspect "was going after employees". The shooter, who has not yet been publicly identified, "senselessly murdered" two store employees and wounded an officer before he was injured and apprehended, authorities said. "It's just hard to believe what happened here".