<PAGE>   1

                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549


                                    FORM 10-K
                ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF
                       THE SECURITIES EXCHANGE ACT OF 1934


For the fiscal year                              Commission file number 0-14759
ended December 31, 1999



                          KLLM TRANSPORT SERVICES, INC.
--------------------------------------------------------------------------------
             (Exact name of registrant as specified in its charter)



           Delaware                                       64-0412551
-------------------------------                ---------------------------------
(State or other jurisdiction of                (IRS Employer Identification No.)
incorporation or organization)


                               135 Riverview Drive
                           Richland, Mississippi 39218
--------------------------------------------------------------------------------
               (Address of principal executive offices) (Zip Code)

       Registrant's telephone number, including area code: (601) 939-2545

           Securities registered pursuant to Section 12(g) of the Act:

                            Common Stock, $1.00 Value

     Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.

                  Yes [X]   No [ ]


     Indicate by check mark if disclosure of delinquent filers pursuant to Item
405 of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K.   [ ]

     Aggregate market value of voting stock held by nonaffiliates of the
registrant as of the close of business on March 24, 2000: $27,620,824.

     The number of shares outstanding of registrant's common stock as of March
24, 2000: 4,101,468.


<PAGE>   2



                       DOCUMENTS INCORPORATED BY REFERENCE

     Portions of the following documents are incorporated by reference:

     Document                                                             Part
     --------                                                             ----

     Annual Report to Shareholders for year ended
       December 31, 1999                                                   II
     Definitive Proxy Statement for Annual Meeting of
       Shareholders to be held May 26, 2000 to be filed with
       the Securities and Exchange Commission pursuant
       to Regulation 14A                                                  III

     Only the portions of KLLM Transport Services, Inc.'s 1999 Annual Report to
Shareholders and Proxy Statement which are expressly incorporated by reference
in this Annual Report on Form 10-K are deemed filed as part of this report.




<PAGE>   3


                          KLLM TRANSPORT SERVICES, INC.

                                    FORM 10-K

                                TABLE OF CONTENTS

<TABLE>
<CAPTION>
                                                                                                   Page
                                                                                                   ----
<S>                                                                                                 <C>
PART I

1.  Business ................................................................................       4
2.  Properties ..............................................................................       6
3.  Legal Proceedings .......................................................................       7
4.  Submission of Matters to a Vote of Security Holders .....................................       7

PART II

5.  Market for Registrant's Common Equity and Related Stockholder Matters ...................       8
6.  Selected Financial Data .................................................................       8
7.  Management's Discussion and Analysis of Financial Condition and Results of Operations ...       8
7A. Quantitative and Qualitative Disclosures About Market Risk ..............................       8
8.  Financial Statements and Supplementary Data .............................................       8
9.  Changes in and Disagreements with Accountants on Accounting and Financial Disclosure ....       8

PART III

10. Directors and Executive Officers of the Registrant ......................................       9
11. Executive Compensation ..................................................................       9
12. Security Ownership of Certain Beneficial Owners and Management ..........................       9
13. Certain Relationships and Related Transactions ..........................................       9

PART IV

14. Exhibits, Financial Statement Schedules and Reports on Form 8-K .........................      10


</TABLE>



<PAGE>   4


                                     PART I

ITEM 1.  BUSINESS.

         KLLM Transport Services, Inc. (through its wholly-owned subsidiary,
KLLM, Inc., hereinafter referred to as "the Company") is an irregular-route
common carrier that specializes in providing high-quality transportation service
in North America. The Company primarily serves the continental United States,
Canada and Mexico. A Delaware corporation, the Company is the successor, by
merger, to KLLM Distributing, Inc. ("KLLM Distributing"), a Mississippi
corporation, incorporated in 1964. The Company owns all of the outstanding
shares of KLLM, Inc., a Texas corporation, which owns (either in fee or as
lessee) and operates substantially all of the Company's tractors and trailers
and holds all of the operating rights presently used in the Company's business.

         The Company offers transportation services for both
temperature-controlled and dry commodities. It strives to provide dependable and
timely service designed to meet the specialized needs of its customers.
Protective service is provided on commodities such as food, medical supplies and
cosmetics. Service offerings include over-the-road long haul, regional, and
dedicated fleet transportation. These services are provided with both
Company-operated and owner-operated equipment.

         The Company currently owns (or leases) and operates substantially all
of its fleet. On December 31, 1999, the Company's fleet consisted of 1,422
Company-operated tractors and 260 owner-operated tractors, 1,948
temperature-controlled trailers and 793 dry-van trailers. Capital expenditures,
net of proceeds from trade-ins during 1999, were approximately $17,535,000. Net
capital expenditures in 1998 were $4,823,000. Net capital expenditures in 2000
are expected to be approximately $28,400,000.


MARKETING AND OPERATIONS

         The Company specializes in providing high-quality transportation
services in North America. The Company seeks customers who value its premium
services, who need a certain number of trucks each week and who require
dependable service in meeting schedule requirements.

         The Company's full-time staff of six (6) salespersons, along with
certain executives, is responsible for developing new accounts. Once a customer
relationship is established, the primary Company contact is an operations
manager who is either dedicated to the customer or who is responsible to a
geographic territory. Working from the Company's corporate headquarters in
Mississippi and Louisiana, these managers contact existing customers to solicit
additional business.

         The Company has driver terminal operations in Georgia, Louisiana,
California, Indiana, Pennsylvania and Mississippi. Maintenance facilities are
located in Mississippi, Louisiana, Texas and Georgia.

         The Company's largest 25, 10 and 5 customers accounted for
approximately 65%, 49%, and 39%, respectively, of its revenue for the year ended
December 31, 1999. During 1999, one customer accounted for more than 10% of the
Company's revenues.

MAINTENANCE

         The Company has a comprehensive preventive maintenance program for its
tractors and trailers, which is carried out at its Jackson, Mississippi,
Bastrop, Louisiana and Atlanta, Georgia facilities. The Company's policy is to
purchase standardized tractors and trailers manufactured to Company
specifications. Standardization enables the Company to control the cost of its
spare parts inventory and streamline its preventive maintenance program.




                                       4
<PAGE>   5

         Manufacturers of tractors are required to certify that new tractors
meet federal emissions standards, and the Company receives this certification on
each new tractor it acquires. Environmental protection measures require the
Company to adhere to a fuel and oil spill prevention plan and to comply with
regulations concerning the discharge of waste oil. The Company believes it is in
compliance with all applicable provisions relating to the protection of the
environment. Management does not anticipate that compliance with these
provisions will have a material effect on the Company's capital expenditures,
earnings or competitive position.

PERSONNEL

         Drivers are recruited at the Mississippi and California driver terminal
locations. On December 31, 1999, the Company employed 1,418 drivers and had a
total of 1,851 employees. None of the Company's employees is represented by a
collective bargaining unit.

COMPETITION

         The Company competes primarily with other long-haul truckload carriers
and with internal shipping conducted by existing and potential customers. The
Company also competes with other irregular-route long-haul truckload carriers,
and to a lesser extent, the railroads, for freight loads. Although the increased
competition resulting from a combination of deregulation, weak market demand,
and a shortage of qualified drivers has created some pressure to reduce rates,
the Company competes primarily on the basis of its quality of service and
efficiency.

TRADEMARK

         The Company's service mark, the KLLM logo, is registered with the
United States Patent and Trademark Office.

SEASONALITY

         In the freight transportation industry generally, results of operations
show a seasonal pattern because customers reduce shipments during and after the
winter holiday season with its attendant weather variations. The Company's
operating expenses have historically been higher in the winter months primarily
due to decreased fuel efficiency and increased maintenance costs in colder
weather.


ITEM 2.  PROPERTIES.

         The Company's corporate office is located in Richland, Mississippi, a
suburb of Jackson. All driver-related executive and administrative functions,
including safety, driver training, maintenance and driver recruiting are housed
in this location. The Company owns a portion of the land on which this facility
is located. The remainder is owned by the Liles and Lee families (or entities or
trusts controlled by those families), major shareholders of the Company. The
Company owns all of the improvements, consisting of approximately 31,200 square
feet of office space and approximately 40,000 square feet of equipment repair
and maintenance space. The Company has an option to purchase the Liles and Lee
part of the land for $390,257.

         The Company owns a maintenance and driver terminal facility near
Dallas, Texas This facility, which consists of approximately 8,000 square feet
of office space and 13,700 square feet of equipment repair and maintenance
space, is located on approximately nine acres of land.

         The Company also owns a maintenance and driver terminal operation in
Atlanta, Georgia. This facility, which includes two buildings containing
approximately 5,000 square feet of office space and 20,000 square feet of
maintenance space, is located on approximately sixteen acres of land.






                                       5
<PAGE>   6

         Additionally, the Company's dry-van operation in Bastrop, Louisiana is
situated on 20 acres of land. The facilities located thereon include
approximately 8,000 square feet of office space and 36,500 square feet of
maintenance space.

         The remaining driver terminal facilities are leased by the Company
pursuant to various short-term leases.


ITEM 3.  LEGAL PROCEEDINGS.

         The Company is involved in various claims and routine litigation
incidental to its business. Although the amount of ultimate liability, if any,
with respect to these matters cannot be determined, management believes that
these matters will not have a materially adverse effect on the Company's
consolidated financial position.

ITEM 4.  SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

         Not applicable.
















                                       6
<PAGE>   7


PART II


ITEM 5.  MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS.

         "Market and Dividend Information" on page 6 of the Company's 1999
Annual Report to Shareholders is incorporated herein by reference in response to
this item.

ITEM 6.  SELECTED FINANCIAL DATA.

         "Selected Financial and Operating Data" on page 4 of the Company's 1999
Annual Report to Shareholders is incorporated herein by reference in response to
this item.

ITEM 7.  MANAGEMENT'S DISCUSSION AND ANALYSIS OF  RESULTS OF OPERATIONS AND
         FINANCIAL CONDITION.

         "Management's Discussion and Analysis of Results of Operations and
Financial Condition" on pages 7 - 10 of the Company's 1999 Annual Report to
Shareholders is incorporated herein by reference in response to this item,
except that the estimated net capital expenditures is expected to be
approximately $28,400,000 rather than the $40,700,000 on page 10 of the
Company's 1999 Annual Report. You should read the following discussion and
analysis and the discussion and analysis incorporated by reference from the
Company's 1999 Annual Report in conjunction with "Item 6. Selected Financial
Data" and "Item 8. Financial Statements and Supplementary Data" incorporated
herein by reference from the Company's 1999 Annual Report, which may contain
forward-looking statements relating to our future financial performance,
business strategy, financing plans and other future events that involve
uncertainties and risks. The Company's actual results could differ materially
from the results anticipated by such forward-looking statements as a result of
many known and unknown factors, including but not limited to those discussed
below, those discussed in "-Factors Affecting Future Performance" in the
Company's 1999 Annual Report and those discussed elsewhere in this report and
the Company's 1999 Annual Report.

         IN ADDITION TO THE "-FACTORS AFFECTING FUTURE PERFORMANCE" INCORPORATED
HEREIN BY REFERENCE FROM THE COMPANY'S 1999 ANNUAL REPORT, ANOTHER FACTOR
AFFECTING FUTURE PERFORMANCE IS THAT THE COMPANY HAS ADOPTED MEASURES THAT HAVE
ANTI-TAKEOVER EFFECTS, WHICH MAY DISCOURAGE TRANSACTIONS THAT MAY BE BENEFICIAL
TO STOCKHOLDERS.

         Under the Company's Certificate of Incorporation, the Board of
Directors may issue Preferred Stock, with any rights the Company wishes to
assign them, without stockholder action. The Company has also adopted a
Stockholder Rights Plan under which the Company has distributed rights to
purchase shares of its Participating Preferred Stock to its stockholders. If
certain triggering events occur, the holders of the rights will be able to
purchase shares of Common Stock at a price substantially discounted from the
then applicable market price of the Common Stock.

         The Company has also entered into or anticipates entering into Change
of Control Agreements with certain employees of the Company which, upon certain
triggering events, will cause the Company to pay such employees, in the
aggregate, approximately $1,876,600.

ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.

         "Market Risk" on page 9 of the Company's 1999 Annual Report to
Shareholders is incorporated herein by reference in response to this item.

ITEM 8.  FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA.

         The Report of Independent Auditors and the consolidated financial
statements included on pages 11 - 22 of the Company's 1999 Annual Report to
Shareholders are incorporated herein by reference in response to this item.

         "Selected Quarterly Data (Unaudited)" on page 5 of the Company's 1999
Annual Report to Shareholders is incorporated herein by reference in response to
this item.

ITEM 9.  CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
         FINANCIAL DISCLOSURE.

         None.





                                       7
<PAGE>   8

                                    PART III

ITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT.

         The information under the caption, "Election of Directors--Nominees for
Director," of the Company's definitive proxy statement for its scheduled May 26,
2000 Annual Meeting of Shareholders to be filed with the Securities and Exchange
Commission pursuant to Regulation 14A, is incorporated herein by reference in
response to this item.

         The information under the caption, "Election of Directors--Management,"
of the Company's definitive proxy statement for its scheduled May 26, 2000
Annual Meeting of Shareholders to be filed with the Securities and Exchange
Commission pursuant to Regulation 14A, is incorporated herein by reference in
response to this item.

         The information under the caption, "Section 16(a) Beneficial Ownership
Reporting Compliance" of the Company's definitive proxy statement for its
scheduled May 26, 2000 Annual Meeting of Shareholders to be filed with the
Securities and Exchange Commission pursuant to Regulation 14A, is incorporated
herein by reference in response to this item.

ITEM 11. EXECUTIVE COMPENSATION.

         The information under the captions, "Executive Compensation; Director
Compensation; Compensation Committee Report on Executive Compensation;
Compensation Committee Interlocks and Insider Participation; Stock Option Plan;
Employee Stock Purchase Plan ("ESPP") and Performance Graph" of the Company's
definitive proxy statement for its scheduled May 26, 2000 Annual Meeting of
Shareholders to be filed with the Securities and Exchange Commission pursuant to
Regulation 14A, is incorporated herein by reference in response to this item.

ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT.

         The information under the caption "Election of Directors--Stock
Ownership," of the Company's definitive proxy statement for its scheduled May
26, 2000 Annual Meeting of Shareholders to be filed with the Securities and
Exchange Commission pursuant to Regulation 14A, is incorporated herein by
reference in response to this item.

ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS.

         The information under the caption "Certain Transactions" of the
Company's definitive proxy statement for its scheduled May 26, 2000 Annual
Meeting of Shareholders to be filed with the Securities and Exchange Commission
pursuant to Regulation 14A, is incorporated herein by reference in response to
this item.



                                       8
<PAGE>   9


                                     PART IV


Item 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K.

          a.   The following documents are filed, as part of this report or
               incorporated by reference herein:

               1.   Financial Statements

                    The following consolidated financial statements of the
               Company and its subsidiaries, included in the Company's Annual
               Report, are incorporated by reference in Item 8:

                    Consolidated Balance Sheets-January 1, 1999 and
                         December 31, 1999.

                    Consolidated Statements of Operations--Years ended
                         January 2, 1998, January 1, 1999 and December 31, 1999.

                    Consolidated Statements of Stockholders' Equity--Years ended
                         January 2, 1998, January 1, 1999 and December 31, 1999.

                    Consolidated Statements of Cash Flows--Years ended
                         January 2, 1998, January 1, 1999 and December 31, 1999.

                    Notes to Consolidated Financial Statements

               2.   Financial Statement Schedules

                    The following consolidated financial statement schedule is
               included in Item 14(d):

                              Schedule II - Valuation and Qualifying Accounts.

                    All other schedules for which provision is made in the
                    applicable accounting regulations of the Securities and
                    Exchange Commission are not required under the related
                    instructions or are inapplicable, and therefore have been
                    omitted.

               3.   Listing of Exhibits

                    (i) Exhibits filed pursuant to Item 601 of Regulation S-K




                                       9
<PAGE>   10




        EXHIBIT
         NUMBER     DESCRIPTION
        -------     -----------

           3.1      Bylaws of Registrant 1

           3.2      Certificate of Incorporation (as amended) 2

          10.1      Amended & Restated Stock Option Plan 3

          10.2      KLLM, Inc. Retirement Plan and Trust (as amended) 4

          10.3      1986 Lease with Mr. Lee and Mr. Liles Covering Corporate
                    Headquarters 1

          10.4      Employee Stock Purchase Plan (as amended)5

          10.7      KLLM, Inc. Cafeteria Plan 6

          10.9      Option to purchase real property on which terminal facility
                    is located from Messrs. Liles and Lee 4

          10.11     Revolving Credit Agreement by andamong KLLM, Inc.,
                    NationsBank of Georgia, National Association, The First
                    National Bank of Chicago, Deposit Guaranty National Bank,
                    and ABN Amro Bank, N.V. 7

          10.15     1996 Stock Option Plan 8

          10.16     Amended and Restated 1996 Stock Purchase Plan 8

          10.17     1998 Non-Employee Director Stock Compensation Plan 9

          10.18     Stockholder Protection Rights Agreement dated February 13,
                    1997 between KLLM Transport Services, Inc. and KeyCorp
                    Shareholder Services, Inc.,as Rights Agent 10

          10.19     Change in Control Agreement

          13        1999 Annual Report (only portions incorporated by reference
                    are deemed filed)

          21        List of Subsidiaries of the Registrant




--------

1    Incorporated herein by reference to Registrant's Registration Statement on
     Form S-1 as filed on July 2, 1986 (Registration No. 33-5881, File No.
     0-14759).

2    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended January 1, 1989 (File No. 0-14759).

3    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended December 31, 1989 (File No. 0-14759).

4    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended December 31, 1991 (File No. 0-14759).

5    Incorporated herein by reference from Fourth Post-Effective Amendment to
     Registration Statement on Form S-8 as filed on November 30, 1990
     (Registration No. 33-14545).

6    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended December 31, 1990 (File No. 0-14759).

7    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended December 30, 1994 (File No. 0-14759).

8    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended January 3, 1997 (File No. 0-14759).

9    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended January 2, 1998 (File No. 0-14759).

10   Incorporated herein by reference to Registrant's Form 8-A12G\A as filed on
     February 24, 1997 (File No. 001-12751).



                                       10
<PAGE>   11



          23        Consent of Ernst & Young LLP

          27        Financial Data Schedule


               (b)  Reports on Form 8-K filed in the fourth quarter of 1999:

                    None

               (c)  Exhibits--The response to this portion of Item 14 is
                    submitted as a separate section of this report.

               (d)  Financial Statements Schedules--The response to this portion
                    of Item 14 is submitted as a separate section of this
                    report.







                                       11
<PAGE>   12


INFORMATION REGARDING THE COMPANY'S EMPLOYEE STOCK PURCHASE PLAN and THE
COMPANY'S AMENDED AND RESTATED 1996 STOCK PURCHASE PLAN INCLUDED PURSUANT TO
RULE 15d-21.

               1.   Full title of the Plans:

                           KLLM Transport Services, Inc. Employee Stock Purchase
                           Plan

                           KLLM Transport Services, Inc. Amended and Restated
                           1996 Stock Purchase Plan


               2.   Name of issuer of the securities held pursuant to the Plans
                    and the address of its principal executive office:

                           KLLM Transport Services, Inc.
                           135 Riverview Drive
                           Richland, Mississippi 39218

               3.   Financial Statements and Exhibits

                           Not applicable.





                                       12
<PAGE>   13


                                   SIGNATURES

     Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the Registrant has duly caused this annual report to be
signed on its behalf by the undersigned thereunto duly authorized.

                                       KLLM TRANSPORT SERVICES, INC.

Date:    March 30, 2000                By:    /s/ Jack Liles
     -------------------------             -------------------------------------
                                           Jack Liles
                                           Chairman of the Board, President, and
                                              Chief Executive Officer

         Pursuant to the requirements of the Securities Exchange Act of 1934,
this report has been signed below by the following persons on behalf of the
Registrant and in the capacities and on the dates indicated.

Date:     March 30, 2000                   /s/ Jack Liles
     -------------------------             -------------------------------------
                                           Jack Liles
                                           Chairman of the Board, President, and
                                              Chief Executive Officer



Date:     March 30, 2000                   /s/ James L. Young
     -------------------------             -------------------------------------
                                           James L. Young
                                           Secretary and Director



Date:
     -------------------------             -------------------------------------
                                           David L. Metzler
                                           Director



Date:     March 30, 2000                   /s/ Walter P. Neely
     -------------------------             -------------------------------------
                                           Walter P. Neely
                                           Director



Date:
     -------------------------             -------------------------------------
                                           Leland R. Speed
                                           Director



Date:     March 30, 2000                   /s/ Steven L. Dutro
     -------------------------             -------------------------------------
                                           Steven L. Dutro
                                           Senior Vice President and Chief
                                             Financial Officer



Date:     March 30, 2000                   /s/ A. K. Northrop
     -------------------------             -------------------------------------
                                           A. K. Northrop
                                           Corporate Controller





                                       13
<PAGE>   14



         Pursuant to the requirements of the Securities Exchange Act of 1934,
the Board of Directors, administrators of the KLLM Transport Services, Inc.
Employee Stock Purchase Plan and the KLLM Transport Services, Inc. Amended and
Restated 1996 Stock Purchase Plan, have duly caused this annual report to be
signed on its behalf by the undersigned hereunto duly authorized.

                                        KLLM TRANSPORT SERVICES, INC. EMPLOYEE
                                        STOCK PURCHASE PLAN and
                                        KLLM TRANSPORT SERVICES, INC. AMENDED
                                        AND RESTATED 1996 STOCK PURCHASE PLAN



Date:      March 30, 2000               By: /s/ Jack Liles
     -------------------------             -------------------------------------
                                           Jack Liles
                                           Chairman of the Board, President, and
                                             Chief Executive Officer










                                       14
<PAGE>   15


                              ITEM 14(a)(2) and (c)
                          FINANCIAL STATEMENT SCHEDULES



                 KLLM TRANSPORT SERVICES, INC. and SUBSIDIARIES
                                  SCHEDULE II - VALUATION and QUALIFYING
                        ACCOUNTS Years Ended January 2, 1998, January 1, 1999,
                        and December 31, 1999


         This schedule contains summary financial information extracted from the
consolidated financial statements for the three years ended December 31, 1999
and is qualified in its entirely by reference to such financial statements.



<TABLE>
<CAPTION>

                                          BALANCE AT          CHARGED TO          WRITE-OFF           BALANCE AT
                                          BEGINNING           COST AND               OF                  END
          DESCRIPTION                     OF PERIOD           EXPENSES            ACCOUNTS            OF PERIOD
          -----------                     ---------           --------            --------            ---------
                                                                    (In Thousands)
<S>                                       <C>                 <C>                 <C>                 <C>
Accounts Receivable Allowance:
  Year ended January 2, 1998              $682                $335                $128                $889
  Year ended January 1, 1999              $889                $213                $552                $550
  Year ended December 31, 1999            $550                $378                $512                $416

</TABLE>







                                       15
<PAGE>   16


                                  EXHIBIT INDEX


        EXHIBIT NUMBER                   DESCRIPTION
        --------------                   -----------

             3.1        Bylaws of Registrant 1

             3.2        Certificate of Incorporation (as amended) 2

            10.1        Amended and Restated Stock Option Plan 3

            10.2        KLLM, Inc. Retirement Plan and Trust (as amended) 4

            10.3        1986 Lease with Mr. Lee and Mr. Liles Covering Corporate
                        Headquarters 1

            10.4        Employee Stock Purchase Plan (as amended) 5

            10.7        KLLM, Inc. Cafeteria Plan 6

            10.9        Option to purchase real property on which terminal
                        facility is located from Messrs. Liles and Lee 4

            10.11       Revolving Credit Agreement by and among KLLM, Inc.,
                        NationsBank of Georgia, National Association, The First
                        National Bank of Chicago, Deposit Guaranty National
                        Bank, and ABN Amro Bank, N. V. 7

            10.15       1996 Stock Option Plan 8

            10.16       Amended and Restated 1996 Stock Purchase Plan 8

            10.17       1998 Non-Employee Director Stock Compensation Plan 9

            10.18       Stockholder Protection Rights Agreement dated February
                        13, 1997 between KLLM Transport Services, Inc. and
                        KeyCorp Shareholder Services, Inc., as Rights Agent 10

            10.19       Change in Control Agreement

            13          1999 Annual Report (Only portions incorporated by
                        reference are deemed filed)


----------

1    Incorporated herein by reference to Registrant's Registration Statement on
     Form S-1 as filed on July 2, 1986 (Registration No. 33-5881, File No.
     0-14759).

2    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended January 1, 1989 (File No. 0-14759).

3    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended December 31, 1989 (File No. 0-14759).

4    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended December 31, 1991 (File No. 0-14759).

5    Incorporated herein by reference from Fourth Post-Effective Amendment to
     Registration Statement on Form S-8 as filed on November 30, 1990
     (Registration No. 33-14545).

6    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended December 31, 1990 (File No. 0-14759).

7    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended December 30, 1994 (File No. 0-14759).

8    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended January 3, 1997 (File No. 0-14759).

9    Incorporated herein by reference to Registrant's Annual Report on Form 10-K
     for the year ended January 2, 1998 (File No. 0-14759).

10   Incorporated herein by reference to Registrant's Form 8-A12G\A as filed on
     February 24, 1997 (File No. 001-12751).


<PAGE>   17


            21          List of Subsidiaries of the Registrant

            23          Consent of Ernst & Young LLP

            27          Financial Data Schedule