Dmitriy Andreychenko, 20, was charged with making a terrorist threat after alarming customers inside the store in Springfield, about 160 miles southeast of Kansas City, police in a statement that provided no further details.
The incident followed a shooting on Saturday at a Walmart in El Paso, Texas that killed 22. Hours late, a gunman opened fire with an assault-style rifle in downtown Dayton, Ohio, killing nine people. The shooter was also killed.
Andreychenko was arrested after walking out of the store with his weapon, Springfield police said. No shots were fired in Thursday's incident.
Police believe the man intended to cause chaos, but they were also working to determine his motives, they told the Springfield News-Leader newspaper.
It was a "really scary, dangerous situation," police at the scene told media, adding that they would investigate the man's social media accounts to try to determine if a threat was intended.
Missouri is an "open carry" state that allows people to openly bear firearms without a special permit, but there are some restrictions, for example, on convicted felons.
U.S. President Donald Trump and the first lady visited El Paso and Dayton on Thursday to show support for the victims, their families and first responders.
The visits have drawn some criticism as protesters and some Democrat presidential candidates have accused Trump of inflaming tension with anti-immigrant and racially charged rhetoric.While the motive for the Dayton shooting is unclear, the accused gunman in El Paso had posted an anti-immigrant screed online.