Lance said the suspect, who isn't being identified, is in custody.
Officials say deputies initially received a call reporting a shooting at a store on the 8000 block of Arkabutla Road at around 11:00 a.m.
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Mississippi crime (Fox News)
Another shooting was reported nearby at 800 Bend Road, then deputies were notified about a third shooting at a separate location. Deputies then apprehended the suspect, according to the outlet.
Coldwater Elementary School was briefly on lockdown due to "an active shooter on the loose," according to a Facebook post.
The town is about 30 minutes away from Memphis, Tennessee.
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Mississippi Gov. Tate Reeves said it is believed the individual acted alone.
"The individual responsible has been taken into custody alive. At this time, we believe he acted alone. His motive is not yet known," Reeves wrote in a Facebook post. "I will ensure that the full resources of the state are available to law enforcement as we continue to investigate the situation."
A spokesperson for the Mississippi Department of Public Safety told Fox News Digital it is assisting in the investigation.