Police are hunting Dzhokhar Tsarnaev, 19, after he escaped a shootout where another suspect, his brother, died.
“Stay indoors with the doors locked,” the Massachusetts governor said.
Three people died and more than 170 were hurt when two bombs exploded near the finish line of Monday’s marathon.
The FBI released several images of two men they were hunting in relation to the bombing, one wearing a white cap, the other a black cap.
Police said “suspect number one” had been killed early on Friday, and they were looking for “suspect number two”, the “white-capped individual”, later named as Dzhokhar Tsarnaev.
Reports said the black-capped suspect – widely named in the US media as Tamerlan Tsarnaev – was the fugitive’s elder brother.
Both are said to be of Chechen origin, and are reported to have moved to the United States about 10 years ago.
The manhunt began late on Thursday when a police officer was killed on campus at the Massachusetts Institute of Technology (MIT).
Two men carjacked a driver at gunpoint and drove away with the driver still in the car. They released the man unharmed.
Police chased the suspects, who threw bombs and exchanged gunfire with police, seriously wounding one officer.
In the Boston suburb of Watertown, officers and the men were involved in a gun battle lasting 10 minutes, according to witnesses.
The authorities in Massachusetts Bay have suspended the transport system and no vehicles are being allowed in or out of the Watertown area.
The warning to stay indoors was later extended to the whole of Boston, in what correspondents said was an unprecedented move.
“Stay indoors with the doors locked, and do not open the door for anyone other than a properly identified law enforcement officer,” Massachusetts Governor Deval Patrick said on Friday morning.
Overnight, video footage emerged showing a fully-clothed suspect lying on the floor, surrounded by police. More video was shown by US media of a suspect being led into a police car after being stripped of his clothes.
But it is not clear who the men were, or what happened after their apparent arrests.
Dr Richard Wolfe, of the Beth Israel Deaconess Medical Center, said an individual was brought in with multiple blast and gunshot wounds to his upper body.
He was in cardiac arrest when he arrived at hospital and despite attempts to resuscitate him, he was pronounced dead at 01:35 (05:35 GMT), Dr Wolfe said.
Boston police Commissioner Ed Davis said he believed the man being hunted in Watertown was a “terrorist”.
“We believe this to be a man who came here to kill people,” he said.
Monday’s attack on the Boston Marathon killed Martin Richard, aged eight, Krystle Campbell, 29, and Lu Lingzi, 23, a postgraduate student from China.
Reprinted from BBC.