Both of the people killed were reportedly employees of the Walmart store, according to WREG-TV.
That news outlet reports that one person was found dead inside the store, while another was found dead in a parking lot.
The shooting prompted a sizeable law enforcement response, with officers setting up a perimeter and entering the Walmart Supercentre.
After the suspect was shot, he was taken to a nearby Memphis hospital, but it wa snot clear what condition he was in. The officer who was shot was hit in his bulletproof vest, and was not seriously injured, according to WATN-TV.
A woman answering the phone at the Southaven Police Department Tuesday morning said "we have ongoing emergencies" and no one was available to provide information.
"There was an active shooter at Walmart," a receptionist said, noting that the shooting took place at 6.32am local time.
A press conference is scheduled for later in the morning.
Southaven is just south of the city of Memphis.
Employees at the stoore reportedly joined a prayer circle outside of the building.