Regional governor Vyacheslav Gladkov said on social media on Thursday that 18 other people were wounded, including five children.
The governor of the neighbouring Kursk region, Roman Starovoit, called the attack "a new crime of the Ukrainian Nazis" - language typical of the way that Russian officials refer to Ukraine in order to justify their invasion.
There was no immediate comment from Kyiv.
Starovoit said a shopping mall, an outdoor sports facility and residential areas were hit. He did not provide an official death toll.
"The enemy is deliberately hitting a cluster of civilians," he said.
A correspondent from the defence ministry-owned Zvezda television channel said six people had been killed in the vicinity of the Magnit shopping centre. The news outlet Mash put the total death toll at nine.
Video and photographs posted to social media showed a building sporting the Magnit logo with nearly all its windows shattered, as well as blown-out windows of apartment complexes.
Video published by Zvezda showed emergency workers running to aid injured people at an outdoor sports complex.
Belgorod is the nearest major Russian city to the border with Ukraine, and the city and surrounding region have come under frequent attack in the course of the war. Russian authorities said 25 civilians were killed in the biggest of these at the end of December.
The Russian defence ministry said its air defence systems had shot down 14 Ukrainian missiles over the Belgorod region.
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