The pilot of a small plane circling over Tupelo, Mississippi, has threatened to crash the aircraft into a Walmart store, US police said.

Tupelo police said the Walmart and a nearby convenience store had been evacuated.

The plane started circling about 5am local time (11am BST) and was still in the air more than three hours later.

Police said they have made contact with the pilot directly.

The plane in the sky
Police say the pilot of the small plane is threatening to crash the aircraft into a Walmart store (Rachel McWilliams via AP)

“Citizens are asked to avoid that area until an all clear is given,” police said.

“With the mobility of an aeroplane of that type the danger zone is much larger than even Tupelo.”

Authorities believe the aircraft was stolen and are working to determine whether the pilot threatening to crash the plane is an employee of a local airport, according to sources.

Multiple US federal agencies, including the Department of Homeland Security, are now involved in the investigation and are working to discern a motive.

An online flight tracking service showed the plane meandering in the sky and following a looping path.

Plane circles
The local Walmart has been evacuated (Rachel McWilliams via AP)

Mississippi governor Tate Reeves wrote on Twitter: “State law enforcement and emergency managers are closely tracking this dangerous situation.

“All citizens should be on alert and aware of updates from the Tupelo Police Department.”

Law enforcement told the Northeast Mississippi Daily Journal that the plane had left the airspace around Tupelo and was flying near a Toyota manufacturing plant in nearby Blue Springs.

Leslie Criss, a magazine editor who lives in Tupelo, woke up early and was watching the situation on TV and social media. Several of her friends were outside watching the plane circle overhead.

“I’ve never seen anything like this in this town,” Ms Criss told The Associated Press. “It’s a scary way to wake up on a Saturday morning.”