Tupelo police were notified at 5 a.m. local time, when the pilot made contact with 911, issuing the threat, Tupelo Police said.
“With the mobility of an airplane of that type the danger zone is much larger than even Tupelo,” police said in a news release earlier Saturday morning.
The plane is a twin-engine, Beechcraft C90A turboprop, according to FAA records that match a registration number confirmed to CNN by the source familiar with the situation. The plane was stolen, the source said.
About 8:30 a.m. local time, the plane was north of Tupelo, police said in an earlier update.
A government source familiar with the situation told CNN the aircraft was later flying over the Holly Springs National Forest.
The Tupelo Walmart store is “currently closed and evacuated,” Charles Crowson, director of the Walmart Press Office, tells CNN.
“We’re working closely with local investigators and are referring questions to law enforcement,” he added.
The Federal Aviation Administration “is aware and is coordinating with local law enforcement,” the agency says in an email to CNN Saturday morning.
The FBI field office in Jackson, Mississippi, is involved in the incident response, a spokesperson said.
This is a developing story. Check back for updates.