Forrest County Coroner Butch Benedict said both officers were shot on Saturday in the city of Hattiesburg and taken to hospital where they were confirmed dead, according to The Clarion-Ledger newspaper.
At least one of the officers was alive when he arrived at hospital, the newspaper reported.
Officials did not say what the motive was for the attack.
Hattiesburg Mayor Johnny DuPree has urged residents to stay indoors while police searched for the shooter.
Police said they believed the suspect stole a police car after the shooting, which was later found abandoned.
The Clarion-Ledger said it was the first police killing in Hattiesburg in 30 years.
A plain clothes police officer in New York died on Monday after he was shot in the head by a suspect.
He was the third on-duty officer killed in the past five months, following the shooting death of two other New York policemen in December.