Police found a few notes from Panda's house and said they were taking the help of forensic experts to check their authenticity.
'The notes indicate that he was under severe depression,' said a senior police official involved in the investigation.
He added that the bureaucrat was under stress after the Central Bureau of Investigation (CBI) allegedly raided his homes in Deogaon and New Delhi this month. He was also worried on account of some property dispute among his family members.
Panda arrived in Bhubaneswar from New Delhi Monday and had purchased some 40 rounds of ammunition from a local armoury before proceeding to his home in a private car.
He had also tested his revolver by firing a few rounds in the air near his village, the official said citing a witness.
'Our priority now is to save the life of Panda's son,' home secretary A.P. Padhi told reporters.