<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 January 1, 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 18, 1999: $26,280,179.

         The number of shares outstanding of registrant's common stock as of 
March 18, 1999: 4,142,525.



<PAGE>   2




                       DOCUMENTS INCORPORATED BY REFERENCE

         Portions of the following documents are incorporated by reference:
<TABLE>
<CAPTION>
         Document                                                           Part
         --------                                                           ----
<S>                                                                         <C>
         Annual Report to Shareholders for year ended
           January 1, 1999                                                   II
         Definitive Proxy Statement for Annual Meeting of
           Shareholders to be held  April 29, 1999 filed with
           the Securities and Exchange Commission pursuant
           to Regulation 14A                                                III
</TABLE>

         Only the portions of KLLM Transport Services, Inc.'s 1998 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.





                                        2

<PAGE>   3



                          KLLM TRANSPORT SERVICES, INC.

                                    FORM 10-K

                                TABLE OF CONTENTS
<TABLE>
<CAPTION>
PART I                                                                           PAGE
<S>      <C>                                                                     <C>
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 Operation.........................    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>




                                        3

<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., 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 January 1, 1999, the Company's fleet consisted of 1,467
Company-operated tractors and 279 owner-operated tractors, 1,998
temperature-controlled trailers and 695 dry-van trailers. Capital expenditures,
net of proceeds from trade-ins during 1998, were approximately $4,823,000. Net
capital expenditures in 1997 were $25,764,000. Net capital expenditures in 1999
are expected to be approximately $28,800,000.



Marketing and Operations

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

         The Company's full-time staff of eight (8) 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, 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.



                                        4

<PAGE>   5



         The Company's largest 25, 10 and 5 customers accounted for
approximately 65%, 51%, and 39%, respectively, of its revenue for the year ended
January 1, 1999. During 1998, 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 Mississippi, Louisiana,
Georgia, and Texas 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.

         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 primarily recruited from the Jackson, Mississippi facility.
On January 1, 1999, the Company employed 1,551 drivers and had a total of 1,939
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



                                        5

<PAGE>   6



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 William J. Liles, Jr. Marital Trust, B. C.
Lee, L.P., and the Estate of Benjamin C. Lee, Jr., are the principal
shareholders of the Company.

         The Company owns a maintenance and driver terminal facility near
Dallas, Texas which was leased out in 1997 after maintenance and terminal
operations were ceased at that facility. The facility is currently leased
through the spring of 1999 at rates which cover the expenses of ownership. 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. That property is currently available for sale.

         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 eighteen acres of land.

         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.




                                        6

<PAGE>   7



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.






                                        7

<PAGE>   8



                                     PART II


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

                  "Market and Dividend Information" on page 7 of the Company's
1998 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 6 of the
Company's 1998 Annual Report to Shareholders is incorporated herein by reference
in response to this item.

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

                  "Management's Discussion and Analysis of Financial Condition
and Results of Operation" on pages 8-12 of the Company's 1998 Annual Report to
Shareholders is incorporated herein by reference in response to this item.

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

                  "Market Risk" on page 11 of the Company's 1998 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 13-24 of the Company's 1998 Annual Report
to Shareholders are incorporated herein by reference in response to this item.

                  "Selected Quarterly Data (Unaudited)" on page 7 of the
Company's 1998 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.







                                        8

<PAGE>   9



                                    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 April 29, 1999 Annual Meeting of Shareholders 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 April 29, 1999 Annual Meeting of Shareholders 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 April 29, 1999 Annual Meeting of Shareholders 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 April 29, 1999 Annual Meeting of
Shareholders filed with the Securities 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 April 29, 1999 Annual Meeting of Shareholders 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 April 29, 1999 Annual
Meeting of Shareholders filed with the Securities and Exchange Commission
pursuant to Regulation 14A, is incorporated herein by reference in response to
this item.



                                        9

<PAGE>   10



                                     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 2, 1998 and 
                            January 1, 1999.

                         Consolidated Statements of Operations--Years ended 
                            January 3, 1997, January 2, 1998 and
                            January 1, 1999.

                         Consolidated Statements of Stockholders' Equity--Years
                            ended January 3, 1997, January 2, 1998 and 
                            January 1, 1999.

                         Consolidated Statements of Cash Flows--Years ended 
                            January 3, 1997, January 2, 1998 and 
                            January 1, 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



                                       10

<PAGE>   11



<TABLE>
<CAPTION>
                 Exhibit Number                Description
                 --------------                -----------
<S>                                    <C>
                       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)
                      10.5             Options granted to Mr. Young and Dr. Neely(6)
</TABLE>
-----------------
     (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, 1987 (File No. 0-14759).









                                       11

<PAGE>   12
<TABLE>
<CAPTION>
                 Exhibit Number                Description
                 --------------                -----------
<S>                                    <C>
                      10.6             First Amendment to Options granted to Mr. Young and Dr. Neely(7)
                      10.7             KLLM, Inc. Cafeteria Plan(7)
                      10.8             KLLM Maintenance, Inc. Retirement Plan and Trust Agreement(7)
                      10.9             Option to purchase real property on which terminal facility 
                                       is located from Messrs. Liles and Lee(4)
                      10.10            Stock Purchase Agreement by and between KLLM, Inc. and Fresh
                                       International Corp.(8)
                      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.(8)
                      10.12            Employment Agreement between KLLM Transport Services, Inc.
                                       and Steven K. Bevilaqua(9)
                      10.13            Options granted to Steven K. Bevilaqua(9)
                      10.14            Asset Purchase Agreement by and among Vernon Sawyer, Inc. and
                                       Vernon and Nancy Sawyer as Sellers and KLLM, Inc. as Purchaser 
                                       (schedules furnished upon request)(9)
</TABLE>
-----------------
     (7)  Incorporated herein by reference to Registrant's Annual Report on Form
          10-K for the year ended December 31, 1990 (File No. 0-14759).

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

     (9)  Incorporated herein by reference to Registrant's Annual Report on Form
          10-K for the year ended December 29, 1995 (File No. 0-14759).






                                       12

<PAGE>   13



<TABLE>
<CAPTION>
                 Exhibit Number                Description
                 --------------                -----------
<S>                                    <C>
                      10.15            1996 Stock Option Plan(10)
                      10.16            Amended and Restated 1996 Stock Purchase Plan(10)
                      10.17            1998 Non-Employee Director Stock Compensation Plan(11)
                      10.18            Stockholder Protection Rights Agreement dated 
                                       February 13, 1997 between KLLM Transport Services, 
                                       Inc. and KeyCorp Shareholder Services, Inc., as Rights 
                                       Agent(12)
                        13             1998 Annual Report (only portions incorporated by 
                                       reference are deemed filed)
                        21             List of Subsidiaries of the Registrant
                        23             Consent of Ernst & Young LLP
                        27             Financial Data Schedule


          (b)      Reports on Form 8-K filed in the fourth quarter of 1998: 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.

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

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

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


                                       13

<PAGE>   14



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.




                                       14

<PAGE>   15

                                   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, 1999                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, 1999                     /s/ Jack Liles          
      -------------------------        -----------------------------------------
                                        Jack Liles
                                        Chairman of the Board, President, 
                                        and Chief Executive Officer

Date:     March 30, 1999                     /s/ James Leon Young               
      -------------------------        -----------------------------------------
                                        James Leon Young
                                        Secretary and Director

Date:     March 30, 1999                     /s/ Walter P. Neely                
      -------------------------        -----------------------------------------
                                        Walter P. Neely
                                        Director

Date:      March 30, 1999                    /s/ Leland R. Speed                
       -------------------------       -----------------------------------------
                                         Leland R. Speed
                                         Director

Date:     March 30, 1999                     /s/ Steven L. Dutro                
      -------------------------        -----------------------------------------
                                        Steven L. Dutro
                                        Chief Financial Officer

Date:     March 30, 1999                     /s/ A. K. Northrop                 
      -------------------------        -----------------------------------------
                                        A. K. Northrop
                                        Corporate Controller


     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



                                       15

<PAGE>   16



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, 1999              By:   /s/ Jack Liles           
       -------------------------           -------------------------------------
                                             Jack Liles
                                             Chairman of the Board, President, 
                                             and Chief Executive Officer














<PAGE>   17



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





<PAGE>   18



                 KLLM TRANSPORT SERVICES, INC. AND SUBSIDIARIES
                 SCHEDULE II - VALUATION AND QUALIFYING ACCOUNTS
        YEARS ENDED JANUARY 3, 1997, JANUARY 2, 1998, AND JANUARY 1, 1999


         This schedule contains summary financial information extracted from the
consolidated financial statements for the three years ended January 1, 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   
-----------------------------       ----------     ----------      ---------       ----------
<S>                                 <C>            <C>             <C>             <C>
                (In Thousands)
Accounts Receivable Allowance:
  Year ended January 3, 1997          $479            $520           $317             $682
  Year ended January 2, 1998          $682            $335           $128             $889
  Year ended January 1, 1999          $889            $213           $552             $550
</TABLE>







<PAGE>   19



                         EXHIBIT INDEX

<TABLE>
<CAPTION>
Exhibit Number                     Description                               Page
--------------                     -----------                               ----
<S>                        <C>                                               <C>
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)
10.5                       Options granted to Mr. Young and Dr. Neely(6)
</TABLE>

--------------

     (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, 1987 (File No. 0-14759).









<PAGE>   20
                         EXHIBIT INDEX
<TABLE>
<CAPTION>
Exhibit Number                     Description                               Page
--------------                     -----------                               ----
<S>                        <C>                                               <C>
10.6                       First Amendment to Options granted
                             to Mr. Young and Dr. Neely(7)
10.7                       KLLM, Inc. Cafeteria Plan(7)
10.8                       KLLM Maintenance, Inc. Retirement
                             Plan and Trust Agreement(7)
10.9                       Option to purchase real property
                             on which terminal facility
                             is located from Messrs. Liles and Lee(4)
10.10                      Stock Purchase Agreement by and
                              between KLLM, Inc. and Fresh
                              International Corp.(8)
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.(8)
10.12                      Employment Agreement between
                              KLLM Transport Services, Inc.
                              and Steven K. Bevilaqua(9)
10.13                      Options granted to Steven K. Bevilaqua(9)
10.14                      Asset Purchase Agreement by and among
                              Vernon Sawyer, Inc. and Vernon and
                              Nancy Sawyer as Sellers and KLLM,
                              Inc. as Purchaser (schedules furnished
                              upon request)(9)
</TABLE>

--------------- 

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

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

     (9)  Incorporated herein by reference to Registrant's Annual Report on Form
          10-K for the year ended December 29, 1995 (File No. 0-14759).




<PAGE>   21
                         EXHIBIT INDEX
<TABLE>
<CAPTION>
Exhibit Number                     Description                                    Page
--------------                     -----------                                    ----
<S>                        <C>                                                    <C>
10.15                      1996 Stock Option Plan(10)
10.16                      Amended and Restated 1996 Stock Purchase Plan(10)
10.17                      1998 Non-Employee Director Stock Compensation Plan(11)
10.18                      Stockholder Protection Rights Agreement dated
                              February 13, 1997 between KLLM Transport Services,
                              Inc. and KeyCorp Shareholder Services, Inc., as
                              Rights Agent(12)
13                         1998 Annual Report (Only portions incorporated by 
                              reference are deemed filed)
21                         List of Subsidiaries of the Registrant
23                         Consent of Ernst & Young LLP
27                         Financial Data Schedule
</TABLE>


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

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

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