The 39-year-old Pontotoc County man also was charged with three counts of kidnapping in connection with the incident, which included a hostage situation involving her two children in Sherman.
Cox heard the charges during his arraignment in Tippah County, even though the shooting and hostage-taking took place in Union County. The location was changed because the judge was hearing a separate case in Tippah County.
After the hearing, Cox was returned to the Union County Jail, where he is being held without bond.
Capital murder is charged when the killing occurs during the commission of another crime. It carries a potential death penalty.
Cox is accused in the shooting death of his estranged wife, Kim Kirk Cox, 40, and the kidnapping of two children. The Coxes reportedly lived apart in Pontotoc County, and the shooting took place at the home of Kim Cox's sister.
The ensuing standoff lasted from Friday night until early Saturday morning, when law enforcement officers entered the house and arrested David Cox without incident.
More charges are expected, according to Union County Sheriff Sheriff Tommy Wilhite.
The Tupelo Police Department SWAT team and a hostage negotiator were called in to help Union County deputies on the scene.
Wilhite also said crystal methamphetamine was found in the suspect's truck and believes he may have been under the influence of the drug.
Kim Cox, who was born in New Albany, will be buried Wednesday.
Pontotoc County Sheriff Neal Davis confirmed Tuesday morning that David Neal Cox Sr. had been charged with statutory rape in Pontotoc County for an incident that was alleged to have happened on Aug. 6, 2009. Cox was released on $63,000 bond after having had it reduced from $200,000 after a writ was filed by Pontotoc attorney Jim Johnstone. The name of the judge approving the reduction was not immediately available, but records will be searched.
Davis also said his office had served a restraining order on Cox within the past two weeks. Before these incidents, Davis said Cox had no record with the Sheriff's Department, at least within the past few years.