CHARLESTON, S.C.—A federal jury sentenced Dylann Roof to death Tuesday for the 2015 killing of nine black worshipers at a historic church here, just hours after he told the panel “I still feel like I had to do it.”

Mr. Roof, who first sat with his victims in a Bible study meeting at the historic Emanuel African Methodist Episcopal Church for 40 minutes before turning a gun on them, hasn’t expressed remorse for the slayings.

The...