Adam Mayes, 35, was killed Thursday evening after a SWAT team acted on a tip and found him and the girls near New Albany, Miss. When they went to arrest him, he shot himself in the head, said Guntown Police Chief Michael Hall.
The girls, Alexandra Bain, 12, and Kyliyah Bain, 8, were taken to a hospital for observation, Hall said.
Mayes had been charged with first-degree murder in the April 27 deaths of Jo Ann Bain, 31, and her daughter, Adrienne, 14. Their bodies were found buried outside the Mayes' home a week after they were reported missing by Jo Ann Bain's husband.
Mayes' wife, Teresa, also is charged with first-degree murder in the deaths. She told investigators he killed Jo Ann and Adrienne Bain at their Whiteville, Tenn., home so he could abduct the two young sisters, according to court documents.
"Thank God it's over and the babies are safe," said Teresa Mayes' sister, Bobbi Booth. "That's all that mattered. I'm just glad it turned out the way it did."
Teresa Mayes told investigators that after she saw her husband kill the two in the garage at the Bain home, she drove him, the younger girls and the bodies to Mississippi, according to affidavits filed in court. She faces six felony counts in the case: two first-degree murder charges and four especially aggravated kidnapping charges.
Authorities refused to comment on the motive for the April 27 slayings and abductions.
Mayes' mother-in-law, Josie Tate, told The Associated Press that Mayes thought the missing sisters might actually be his daughters and it caused problems in his marriage to her daughter, Teresa, who is jailed in the case.
"She was tired of him doting on those two little girls that he claimed were his," Tate said.
Adam Mayes' mother, Mary Mayes, also has been charged with conspiracy to commit especially aggravated kidnapping.
Mary Mayes' attorney, Somerville attorney Terry Dycus, said his client maintains she is not guilty.
The hunt for Adam Mayes and the two young sisters encompassed parts of at least three counties in northern Mississippi. State and local law enforcement agents on Thursday searched a densely wooded area about 10 miles from Mayes' home near Guntown.
Dee Hart, who organized a Tuesday night vigil for the girls in Bolivar, Tenn., said their prayers were answered.
"No words can express our elation," she said by phone. "We know prayers brought those babies home. I can't wait to see them."
Mohr reported from Jackson, Miss. Associated Press reporters Sheila Burke and Joe Edwards in Nashville, Tenn., contributed to this story.