A man massacred his family after a Thanksgiving dinner, gunning down his twin sister's – one of whom was pregnant – six-year-old cousin and two other relatives before speeding off and sparking a state-wide manhunt.

Police were searching for Paul Merhige (35) of Miami, Florida, who also shot dead his sister's twin and his 79-year-old aunt.

Sergeant Scott Pascarella said there had been an "ongoing resentment" in the family but did not elaborate.

"What led to this incident we're not quite sure," he said. "It did not appear there was any altercation prior to this shooting."

Pascarella said Merhige left briefly before returning to the gathering with a handgun.

Seventeen relatives had gathered in Jupiter, a small beach town about 90 miles north of Miami, best known as a home to celebrities including Michael Jordan and Burt Reynolds.

Police spokeswoman Sally Collins-Ortiz said the city had never experienced a murder with so many victims.

The department enlisted the US Marshals in the search for Merhige, who police said had no known criminal past.

Pascarella said police first received a 911 call from a neighbour, then another from someone inside the home.

The home, in a well-kept new sub-division with brick-paved driveways, is owned by local TV journalist Jim Sitton and his wife. Sitton's daughter Makayla was the six-year-old victim.

Police said she had gone to bed before the rampage.

"God packed a lot of sweetness into that little body," Sitton said. "She's just our life. I don't know how we are ever going to recover."