An El Paso detective said in an arrest affidavit that 21-year-old Patrick Crusius told investigators he targeted Mexicans at the store with an AK-47 rifle. Numerous dead had Latino last names and eight of them were Mexican nationals.
Titled "The Inconvenient Truth", his message railed against the dangers of mass immigration and warned that Hispanics will eventually take over the economy and government.
El Paso sits on the border with Mexico and Latinos comprise over 80 percent of its population.
Authorities believe Crusius posted an online screed railing against an influx of Latinos into the USA shortly before the attack. He has been charged with capital murder and prosecutors are seeking the death penalty.
Crusius is accused of shooting and killing 22 people and wounding two dozen more on Saturday, shortly after a manifesto appeared online explaining his motivation and decrying a "Hispanic invasion" of the United States.
ICE raids: 300 people released amid outrage over MS arrests
Jackson Mayor Chokwe Antar Lumumba called the raids "dehumanizing and ineffective," in a statement on Facebook. Others returned from school to discover that their parents had been taken. "Now their kids maybe are alone".
Jessica Coca Garcia, who was among those wounded in the shooting, spoke to those gathered at the League of United Latin American Citizens' "March for a United America". Garcia and her husband were injured during the mass shooting.
"Not only did El Paso bear the brunt of this hatred and this racism perpetrated not just by white nationalists and terrorists and Klansmen and neo-Nazis but by the very president of the United States of America himself", O'Rourke told the crowd on Saturday.
Trump on Wednesday said on Twitter, "The Dems new weapon is actually their old weapon, one which they never cease to use when they are down, or run out of facts, RACISM!"
This undated file image provided by the Federal Bureau of Investigation shows Patrick Crusius, whom authorities have identified as the gunman who killed multiple people at an El Paso, Texas, shopping area. "Our organization has long enjoyed a wonderful following from the people of El Paso, and our wish is that so many others in Texas and around the country will be inspired to assist the loved ones who are grieving".
Ohio's Republican governor - who was approved by the National Rifle Association during his campaign - has proposed a modified red flag law that emphasises the gun owner's due process rights.