Police in St Johns, a small community north-east of Phoenix, said the child had confessed to shooting the two men with a .22-calibre rifle on Wednesday.
"Who would think an eight-year-old kid could kill two adults?" said St Johns Police Chief Roy Melnick on Friday.
He said police officers had arrived at the child's home within minutes of the shooting on Wednesday evening.
They found one victim just outside the front door and the other dead in an upstairs room, he added.
The killed father Vincent Romero, 29, was an avid hunter who taught his son how to use a rifle to kill prairie dogs, said Rev. John Paul Sauter of St. Johns Catholic Church.
"He wanted to make sure the kid wasn't afraid of guns, knew how to handle it," the priest said. "He was just too young. ... That child, I don't think he knows what he did, and it was brutal."
The second man, Romans, had been renting a room at the Romero house, prosecutors said. Both men were employees of a construction company working at a power plant near St. Johns.
A judge has ordered a psychological evaluation of the boy, who is being held at a juvenile detention centre.
He did not have a record of bad behaviour at school, and there had been no indication of any problems at home, prosecutors said.
The boy had gone to a neighbour's house and said he "believed that his father was dead", Apache County prosecutor Brad Carlyon said. Police later obtained a confession from the boy for the two killings.
His defence lawyer, Benjamin Brewer, said police had overreached in questioning him without representation from a parent or a lawyer, and that they had not advised him of his rights.
"They became very accusing early on in the interview," Brewer said. "Two officers with guns at their side, it's very scary for anybody, for sure an 8-year-old kid."
Meantime police are pushing to have the boy tried as an adult even as they investigate possible abuse, Melnick said. If convicted as a minor, the boy could be sent to juvenile detention until he turns 18.
Police had responded to calls of domestic violence at the Romero home in the past, but authorities were searching records Saturday to determine when those calls were placed, Melnick said.
Prosecutors aren't sure where the case is headed, prosecutor Carlyon said.
"There's a ton of factors to be considered and weighed, including the juvenile's age," he said. "The counterbalance against that, the acts that he apparently committed."
FBI statistics show instances of children younger than 11 committing homicides are very rare. According to recent FBI supplementary homicide reports, there were at least three such cases each year in 2003, 2004 and 2005; there were at least 15 in 2002. More recent statistics weren't available, nor were details of the cases.
Earlier this year in Arizona, prosecutors in Cochise County filed first-degree murder charges against a 12-year-old boy accused of killing his mother.
Romero had full custody of the child. The boy's biological mother visited St. Johns during the weekend from Mississippi and returned to Arizona after the shootings, Carlyon said.
Family members declined to speak on the record.
Brewer said the boy "seems to be in good spirits."
"He's scared," he said. "He's trying to be tough, but he's scared."
In June last, the Supreme Court of the United States held that the Second Amendment to the United States Constitution protects an individual's right to possess a firearm for private use.
It affirmed the Court of Appeals for the D.C. Circuit in Parker v. District of Columbia, which had struck down provisions of the Firearms Control Regulations Act of 1975 as unconstitutional.
The Court of Appeals also struck down the portion of the law that requires all firearms including rifles and shotguns be kept "unloaded and disassembled or bound by a trigger lock."