Committee, Russia's equivalent of the FBI, named the assailant as Sergei Pomazun, a resident of Belgorod who had a theft conviction and was released from prison in 2012.
The former convict, born in 1981, fled the scene of the shooting in a dark BMW which he then abandoned, officials said.
Police had determined where he was in the city and officers were moving in to attempt to seize him.
A police spokeswoman declined to release any other details.
"So far, the criminal has not been caught," the spokeswoman said.
The man, apparently armed with a hunting rifle, killed three salespeople at the shop and two passers-by, including a 14-year-old girl, outside the premises in the city close to the border with Ukraine, police said.
Another victim, a 16-year-old girl, was wounded in the head and died later in intensive care, the regional authorities said.
Other than the girls, the four other victims were men between 28 and 45 years old.
Police refused to speculate on the possible reasons for the shooting.
"We do not know whether it was a conflict because there's no-one we can ask: everyone's dead," a regional police spokesman told AFP.
Television footage showed several covered bodies lying on the street and a crowd of onlookers looking shell-shocked.
Police warned that Pomazun might be armed, possibly with a carbine and a gas pistol.
Authorities also searched the apartment of the suspect's father where the shooter presumably kept weapons, police said.
The brazen shooting shook Belgorod, a city of just under 360,000 people located around 700 kilometres (450 miles) south of Moscow.
Officials said the crime was unprecedented.
"For us it is a first. We are in shock," spokeswoman for the regional authorities, Yekaterina Zimina, told AFP.
"We've never had this before. It's a quiet town," added regional police spokeswoman Tatyana Kireyeva.
President Vladimir Putin was informed of the crime, his spokesman said.
The governor of the Belgorod region, Yevgeny Savchenko, called on residents to be vigilant and cooperate with police.
"This unprecedented and inhumane act cannot be justified," he said in a statement.
"Only a non-human is capable of such an evil doing."
Belgorod mayor Sergei Bozhenov called an emergency meeting to address the shooting.
"Psychologists are working with relatives of those killed," the city council said in a statement, noting that all planned entertainment events were cancelled.
The city will observe a day of mourning on Tuesday.
The families of those killed and wounded in the shooting will receive financial compensation, the council added.
A group of investigators was dispatched to the city from Moscow to assist with the investigation.
Unlike in the United States, access to firearms is restricted in Russia and mass shootings are relatively rare.