The shooting in the elementary school of 600 left 20 children dead, including two who were rushed to a local hospital.
Six adults were also killed by the gunman who is believed to have fired 100 shots. Among those dead is understood to be Lanza's mother, who was a teacher at the school.
"Earlier today a tragedy of unspeakable terms played itself out in this community," Malloy told reporters outside the school.
"You can never be prepared for this kind of incident. A number of our citizens, beautiful children, had their life taken away from them as well as adults whose responsibility it was to educate and supervise those children," Malloy said.
Connecticut police lieutenant Paul Vance said the investigation is ongoing and said another person was found dead at a "secondary crime scene" near Newtown.
He, however, did not release further information but media reports said Lanza's brother was found dead in an apartment.
Vance said the shooting was concentrated in one section of the school inside two classrooms.