Officials said 92-year-old Loyce Ivey was taken to the University of Mississippi Medical Center (UMMC) for treatment after the shooting. UMMC officials said she died just before 4:45 p.m. on Tuesday.
Capitol police responded to the Baptist Medical Center around 2:00 a.m. on Tuesday after receiving a call about a possible murder-suicide attempt.
Investigators said the suspect was visiting his wife when the shooting happened. The suspect apparently went into another room and shot himself.
Hinds County Coroner Sharon Grisham-Stewart identified the man as 95-year-old Cecil Ivey.
Baptist Medical Center officials said there would be an increased security presence for the next few days.