The shootings took place in three separate locations in Lincoln County, south Mississippi.
A male suspect, named in local media as Cory Godbolt, was detained on Sunday morning and is in police custody.
Authorities say it is too early to consider any possible motive behind the killings.
The deputy sheriff who died in the shooting was named as William Durr, 36.
Deputy Sheriff Durr and three women were found dead at the scene of the shooting in Bogue Chitto, police said.
The next shooting took place in Brookhaven, where “the bodies of two juvenile males were located”, police said.
The third crime scene was in East Lincoln, where a man and woman were killed.
The suspect, Cory Godbolt, spoke to local paper The Clarion-Ledger after he was detained.
He said he was “sorry” and “ain’t fit to live, not after what I done”.
He said he was in conversation with his wife and her family “about me taking my children home” when someone called the police.
Cory Godbolt said he had been shot by someone, and was treated for a gunshot wound after being detained, the newspaper added.
A 16-year-old, believed to have been taken hostage by the suspect, was safe, The Daily Leader reported.
Mississippi governor Phil Bryant called the incident a “senseless tragedy”.
“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,” he said in a statement.