All the victims were relatives of the suspect, 35-year-old Paul Michael Merhige of Miami, who is still at large, according to Jupiter police.
"We know the suspect had an ongoing resentment toward family members and at some point in the evening left the residence for a short period of time, then returned and started shooting without warning," Police Sgt. Scott Pascarella told ABCNews.com.
Pascarella said there were 17 guests at the holiday dinner massacre at the home of the youngest victim. He did not know if anyone had been targeted by the suspect.
"The suspect was an invited guest into the home, spending Thanksgiving with members of his family, and he started shooting," Pascarella said.
Police said the victims -- Makayla Sitton, 6, a second or third cousin; Raymonde Joseph, 76, an aunt; and Carla and Lisa Knight, 33, his twin sisters -- were relatives of the suspect.
A fifth victim, Patrick Knight, 37, and the husband of Lisa Knight, was treated and released at St. Mary's Hospital in West Palm Beach after he was grazed by a bullet, police said. The suspect also injured a cousin, Clifford Gebara, 52.
The dinner was at the Jupiter home of the dead girl's father, James Sitton, a photographer for Florida's WPTV station.
The youngest victim was asleep in her room when she was shot and died after she was taken in a helicopter to St. Mary's Medical Center, according to ABC affiliate WPBF.
"I just want to let everyone know that she's in heaven; we know where she is, and that's the only reason I can stand here today," Sitton told WPTV. "God has blessed us with a beautiful little girl and he just took her home."
U.S. Marshalls are assisting local police in the manhunt.
The suspect was last seen leaving the home at about 10 p.m. Thursday night in a blue, four-door 2007 Toyota Camry, bearing Florida license plate W427JT. He is considered armed and dangerous.
A Rare Killing in Jupiter
Police said they had never seen a quadruple murder like this in Jupiter. "This is very tragic and obviously very devastating to the families of the victims, especially because there was a 6-year-old included," Pascarella said.
Police said family members had been relocated and were receiving temporary counseling.
"Makayla was a special girl," Sitton said of his daughter. "Six-years-old, played piano and sang. She was supposed to be in the Nutcracker ballet tomorrow at the Eissey theater. ... She was very excited about this.
"Tonight, when we put her down, I got to have a tender, special moment with her. She's just, our life, and I don't know how we're ever going to recover. God packed a lot of sweetness into that little body, and it's a tragic way to go, but we know where she is."
Anyone with information concerning the whereabouts of Paul Michael Merhige is urged to contact the Jupiter Police Department at (561) 746-6201.