The male jaguar's escape was reported around 7:20 a.m. (1220 GMT), when the zoo was still closed to the public, according to the zoo. No humans were hurt.
No people were injured, the zoo said.
"This is by far the biggest incident we've had, the biggest magnitude, the biggest tragedy we've had", Audubon Zoo CEO Ron Forman said.
"We take this situation very seriously and we're working to investigate everything that happened so we could prevent anything like this from happening again " Burks said.
Zoo officials said it wasn't clear how Valero managed to escape his habitat.
In addition to the slain animals, three other injured animals were being cared for.
"As of early this morning, our fox, Rusty faired well overnight, he will continue to be monitored and treated by expert animal care professionals", officials said.
Our staff continues to mourn the loss of our animals. The Audubon Nature Institute announced it would conduct an "action review" and investigation into how the jaguar escaped.
"He's a young male jaguar - he was doing what jaguars do", said Joel Hamilton, the zoo's general curator.
Back in March, the zoo ha acquired five alpacas from different farms in south MS and Mobile, Alabama. In 2001, a 70-pound cub named Mulac got loose for about 10 minutes before he was brought down with a tranquilizer dart.