PONTOTOC COUNTY, Miss. — A Mississippi man put to death last month for the brutal 2010 murder of his estranged wife allegedly confessed before his execution that he had also killed his missing sister-in-law three years earlier.

David Neal Cox, 50, was executed by lethal injection Nov. 17 at the Mississippi State Penitentiary at Parchman, becoming the first Mississippi inmate to be put to death in nine years. Cox was on death row for the murder of Kim Kirk Cox.

David Cox took Kim Cox, 40, and two of her children hostage the night of May 14, 2010, at their Sherman home. He fatally shot Kim Cox and sexually assaulted her then-12-year-old daughter multiple times in front of her dying mother, according to The Associated Press.

By the time authorities were able to gain access to the home the following morning, Kim Cox was dead.

In his final days, David Cox made a surprise confession to his defense team about a second murder, that of Felicia Warren Cox, First Circuit District Attorney John Weddle said Monday. Cox waived his attorney-client privilege, which meant that the lawyers could share what he told them with law enforcement officials.

On Nov. 19, two days after David Cox’s execution, his attorneys hand-delivered a letter in which Cox confessed to the murder and gave details of where her body is located. Authorities have not disclosed where Felicia Cox is allegedly buried.

“We would like to stress that locating the remains of Felicia Cox is not a foregone conclusion,” Weddle said in a written statement. “We are hopeful the information is accurate and that recovery efforts will be successful so that Felicia’s family may give her a proper burial.”

Cox’s attorneys with the Mississippi Office of Capital Post-Conviction Counsel confirmed the details of the district attorney’s announcement.

“Mr. Cox felt deep remorse and wanted to bring closure to her family,” the attorneys said.

David Cox had long been the prime suspect in the presumed death of Felicia Cox, who was married to one of his brothers. Felicia Cox, 40, of Piney Grove, vanished July 2, 2007, following a visit to Kim and David Cox’s home.

A missing persons report indicated that Felicia Cox had asked Kim Cox to drive her to the Oxford jail, where Felicia’s husband was incarcerated at the time. Kim Cox drove to Felicia Cox’s home to pick her up, but she was not there, the document stated.

David Cox told police Felicia Cox showed up at their home “upset because she wasn’t sure if Kim would take her.” He was the last person to see her alive, according to authorities.

Felicia Cox’s copper-colored 1999 Chevrolet Blazer was later found abandoned on Waldo Road in the Randolph community of Pontotoc County. It was locked and the missing woman’s purse, keys and medication were inside.

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Cox’s family told police she never went anywhere without her medication.

It was Kim Cox, who would die at her husband’s hands three years later, who reported Felicia Cox missing.

Weddle told The New York Times this week that without physical evidence or a confession, investigators were unable to do anything about their suspicions at the time of Felicia Cox’s disappearance.

“Having something to take to a grand jury back then would have been almost impossible,” the prosecutor said.

Watch Monday’s news conference about the case below.

Felicia Cox’s daughter, Amber Miskelly, attended Monday’s news conference with her husband. Miskelly, who was 18 when her mother vanished, wiped tears from her eyes as Weddle spoke.

Afterward, she told the Times she received a letter that day from David Cox’s lawyers, in which his remorse was detailed.

“All that he said was that he was sorry for taking my mom away and that her death was senseless, and that he should have never harmed her,” Miskelly said. “I felt relieved, but it upset me all over again.”

Weddle told the newspaper that David Cox did not say how he killed Felicia Cox. Investigators are launching a search for her remains, with help from Mississippi State University archaeologists and anthropologists.

The motive for Felicia Cox’s slaying was unclear.

‘I was a good man at one time’

Court documents detail, however, what led up to Kim Cox’s murder in 2010.

According to the records, David and Kim Cox had two children together. Kim Cox also had a daughter, Lindsey Kirk, from a previous marriage.

Kirk, who allowed her name to be made public, told the AP last month that her stepfather sexually abused her for several years, whenever her mother was out of the house. He threatened to kill them all if she ever told anyone.

In the summer of 2009, however, Kirk steeled herself.

“I texted Mama and told her,” Kirk said.

Court records show that Kim Cox took the children and left. She also reported her husband to police, who arrested him that August on charges including statutory rape, sexual battery and child abuse.

“During his nine months in jail prior to posting bond, Cox would often become enraged and would proclaim to his cellmates his hatred for Kim, blaming her for his incarceration,” one court document states. “Cox professed to them that he would kill Kim once released.”

Deathly afraid of her estranged husband, Kim Cox moved herself and her children in with her sister, Kristie Salmon.

Kim Cox’s deepest fears came true when David Cox was released on bail in April 2010. She obtained a restraining order to keep her family safe.

According to the AP, Kim Cox told relatives she spotted her husband at an intersection one day. He held his hand in the shape of a gun and pointed it at her, she said.

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David Cox, who worked as a commercial truck driver, began putting his plan for revenge into action days later, on May 14, when he bought a .40-caliber handgun and two extra ammunition magazines. He then borrowed a van from his sister and drove to Salmon’s home, the court records state.

Salmon was home when David Cox shot his way into the house, as were Kim Cox and her three children. Kirk told the AP that she was on the couch while her aunt cooked dinner and her mother was in the bathroom, running a tub of bathwater for one of her brothers.

“A gunshot came through the screen door, and he ran in and told me not to move,” Kirk said.

David Cox chased Salmon out of the house. She and one of the boys, who had been outside playing basketball, escaped.

Kim Cox, Kirk and the second of the boys remained.

According to the AP, Kirk did not see her mother get shot but was soon corralled into the rear of the house.

“Mama was laying on the floor. She was bleeding,” Kirk said.

Her younger brother, Kirk said, was “balled up in the closet.”

“The first 911 call was made at 7:10 p.m.,” the court documents say. “Cox communicated with police throughout the night and early morning. Through those communications, police learned that Cox had shot Kim twice, once in the arm and once in the abdomen, between 7:00 p.m. and 7:10 p.m.”

Overnight, hostage negotiators, members of David Cox’s family and members of Kim Cox’s family communicated with the gunman as his estranged wife lay mortally wounded. In between negotiations, he sexually assaulted Kirk three times in front of her mother.

Kim Cox’s father and stepmother, Benny and Melody Kirk, were driving toward the barricaded home when David Cox called them. He told Benny Kirk that he had originally planned to kill the entire family.

He also told his father-in-law that Kim Cox was “bleeding like a stuck pig.” He then let Benny talk to Kim.

“Daddy, I’m dying,” she told her father.

“I told her we was coming just as quick as we could get there,” Benny Kirk told the AP.

Alan Chavers, a Tupelo police officer and hostage negotiator, tried to get David Cox to release Kim so she could receive medical treatment, but he refused and said he wanted to watch her die, according to the court records.

He also handed her the phone and told Chavers, “Since you’re so interested in her, I want you to hear her beg before she dies.”

While talking to Chavers, Kim Cox pleaded for her life, the records show. David Cox told the officer if anyone tried to enter the house, he would kill the children.

When David Cox refused to speak to police anymore, Melody Kirk took on the task of trying to convince him to let her stepdaughter and grandchildren go.

Melody Kirk later testified to hearing David Cox taunting his wife as she slowly bled to death.

“Are you having fun yet, you (expletive)?” he asked, according to records. “Are you enjoying this? Is this fun, Kim?”

A SWAT team ultimately forced entry into the house around 3:23 a.m., more than eight hours after the ordeal first began. David Cox was taken into custody and the children were rescued.

Kim Cox was dead, having “bled out” as a result of her abdominal bullet wound, the records say.

Cox ultimately pleaded guilty to the charges, including capital murder. A penalty trial was held in September 2012, at which time a jury sentenced him to death.

Though he initially appealed his sentence, David Cox later relinquished all of his appeals, calling himself “worthy of death,” the AP reported.

When Lindsey Kirk learned her former stepfather’s execution was moving forward, she was initially upset.

“When I found out that he was wanting to go ahead and get it over with, I wasn’t really happy about it. Like, I kind of just wanted him to sit there,” Kirk told the AP. “I guess I’m OK with it now.”

Kirk, who said she misses her mother every day, witnessed David Cox’s execution last month. The Kirk family did not release a statement afterward.

In his last moments, David Cox thanked corrections Commissioner Burl Cain for his kindness. He also spoke a message to his sons.

“”I want my children to know that I love them very much and that I was a good man at one time,” Cox said, according to Mississippi prison officials. “Don’t ever read anything but the King James Bible.”

Cox was pronounced dead at 6:12 p.m. CST.

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