I posted this several years ago, but here it is again.
I am by no means an expert, but I have been interested in this subject since my brother saw one in the Big Black River Swamp near Vaiden, MS back in the 1980's. I wrote a couple of research papers on the subject when I was at State, so I'll relate a little of what I remember.
First off, cougars (aka panthers, painters, mountain lions, pumas, catamounts, to name a few) were at one time (maybe still are?) native to the state. Native-Americans and the early settlers definitely rubbed elbows with them. Their main prey would have been deer, but there were fewer deer in the state then than there are now, so there was never a huge number of them.
What deer were here were basically wiped out in the 19th Century and early 20th century by unregulated subsitence hunting. The reduction in prey animals had a similar effect on cougar numbers. Also cougars were seen as a threat to livestock and people, and so were killed at every opportunity.
If I remember correctly, the "last" cougar in Mississippi was "officially" killed in either the 1910's or 1920's. I don't remember where in MS or how they arrived at their conclusion that this was the "last" one.
However, panther reports kept coming in. Here are a few:
1. A cougar was seen by two witnesses (game wardens or security guards, not sure which) on Stennis Space Center property in South MS.
2. In the mid-to-late 1990's, there were several reports of a cougar being sited in the Vicksburg Military Park. Park officials even printed up flyers warning people and asking for sighting reports.
3. A bowhunter reported a sighting in the Big Black River Swamp somewhere around the Hinds-Warren County line. A game warden was called to the scene and plaster casts were made of the tracks. Big article in the Clarion-Ledger. I think this was in the fall of 1983.
Besides plaster casts of footprints, hair & scat have been collected at some scenes. Undeniable proof, right? Nope. The argument then shifts to whether the evidence points to a "loose pet" or a wild cougar. The point is critical to geeting researchers interested. A "loose pet" is not significant to researchers. A wild cougar would be, because it potentially represents a breeding population. The only way to prove that a cougar is "wild" is to capture a live one or to examine the carcass of one.
A word of warning. Any cougar walking around in Mississippi is considered an endangered species. Don't shoot 'em! You will looking at an incredible fine and jail time if you do.
The most likely way a body will turn up is by roadkill. Even in western states where they are common, bodies are rarely found in the wild. I don't know their protocols, but I understand that biologists can determine through forensics whether the animal is "wild" or not.
For more info, check out this site:
http://www.easterncougarnet.org
The most controversial aspect about panthers is the continued reporting of "black panthers." No cougars or subspecies of cougars is known to have a black color phase. "Black panthers" are true mysteries. Some of the more common explanations are that people are seeing large black dogs and mistaking them for black panthers, or that they are seeing real panthers under poor light conditions. Wierder theories hold that "black panthers" are phantoms or some other kind of paranormal experience.
If that's your bag, go to Google and type in "cryptozoology" or "black panthers" and see what you get.
Oops. On second thought, you might not want to type in Black Panthers on Google.
Anyway, my fingers hurt and I've probably bored enough of you already. I like the subject and would definitely like to read any sighting reports that any of you might have had.
And I'd love to see one esp.. if I had a camera handy! 
