The Mississippi Supreme Court upheld Gillett's capital murder conviction in 2010.
The nation's high court this past week turned Gillett's request to look at his appeal.
Gillett was convicted in 2007 in Forrest County on two counts of capital murder for his role in the deaths and the transporting of their bodies to Kansas in a freezer.
The Mississippi court rejected Gillett's argument that his decision to flee to Kansas in the couple's truck was unrelated to the slayings.
Prosecutors countered that Gillett and his girlfriend, Lisa Jo Chamberlin, fled the state to cover their tracks and hide the crime.
In 2004, according to court documents, Kansas authorities learned Chamberlin and Gillett were in possession of a stolen vehicle and were manufacturing methamphetamine at a farm near Russell, Kan.
Officers arrested the couple at the home where they were staying after a search found illegal drugs. A second search uncovered a freezer in which a dismembered body was found. The body was determined to be Vernon Hullett, Gillett's cousin. When they pulled the body out, Linda Heintzelman's frozen body was found underneath.
Prosecutors said Gillett and Chamberlin were living with the victims in Hattiesburg at the time of the slayings.
Chamberlin, in a taped confession played at her trial, said the victims were killed because they wouldn't open a safe in Hulett's home, according to the court record. Her appeal was turned down separately in October by the U.S. Supreme Court.
Prosecutors contended that Gillett's fleeing with the bodies was part of a continuous criminal act.
The Mississippi court follows the "one continuous transaction" rationale in capital cases. Therefore, evidence that Gillett stole the truck and fled to avoid arrest could be used to support a capital murder conviction.
In Mississippi, capital murder is defined as murder committed along with another crime; in this case, robbery.