Chaos erupted at the Siam Paragon mall in Bangkok close to peak hours on Tuesday, with hundreds fleeing as gunshots rang out. The dead were two women from China and Myanmar.
The suspected gunman, a 14-year-old, was arrested late on Tuesday. Major General Samran Nuanma said he modified a gun designed to fire blank rounds, to enable it to use live ammunition.
Police had said the suspect had been receiving psychological treatment and had skipped his medication.
"Usually we don't get the suspect alive. This case is an important case study for us. We need information from the young man," National police chief Torsak Sukvimol said in a television interview on Wednesday.
"Initially I spoke to him to calm him down because he was worried and appeared to hear someone speaking to him, he was hearing things, a noise he said told him to shoot," Torsak said.
The incident at Thailand's most famous mall could be a blow to the country's efforts to support its sluggish economy by boosting its vital tourism sector.