The shooter, Ryan Christopher Palmeter, lived with his parents in a suburb of Jacksonville, Sheriff TK Waters told a press conference on Sunday.
He died of a self-inflicted gunshot wound.
Authorities have described the shooting as racially motivated, saying the man had authored "several manifestos" for media, his parents and law enforcement detailing his hatred for black people.
"There was no criminal record, nothing," he said, adding that the only thing on file was a domestic violence call with his brother.
"There were no red flags."
However, the sheriff said Palmeter in 2017 was briefly held under a state law called the Baker Act, which states a person can be "taken to a receiving facility for involuntary examination" during a mental health crisis.
Reuters could not immediately reach members of the gunman's family for comment.
Palmeter also left a will and a suicide note that were retrieved by his father, the Jacksonville sheriff said.
US President Joe Biden in a statement on Sunday noted the shooting occurred the same day the country marked the 60th Anniversary of the March on Washington DC.
He added, "We must refuse to live in a country where black families going to the store or black students going to school live in fear of being gunned down because of the colour of their skin".
The Justice Department is investigating the shooting as a hate crime and an "act of racially motivated violent extremism," Attorney General Merrick Garland said in a statement.
Waters said the suspect was caught on video shooting Angela Michelle Carr, a black 52-year-old woman, in her car outside the Dollar General, a US discount chain.
He then entered the store where he shot and killed 19-year-old Anolt Joseph "AJ" Laguerre Jr. and Jerrald De'Shaun Gallion, 29.
Both men were black.
Palmeter wore a tactical vest and his face was covered by a mask, Walters said.
He carried a handgun and an "AR-15 style" rifle, with swastikas on it, police said.
Authorities said he was spotted trying to enter a local historically black college, Edward Waters University, on Saturday before heading to the Dollar General store.
Palmeter had refused to identify himself to a campus officer and had been turned away.
"It was later determined that the individual would be involved in a shooting near EWU campus," the university said.
