A depressed Turkish man accused of stealing a plane in Canada and leading fighter jets on a chase across three American states was charged with transportation of stolen property and illegal entry on Tuesday.

Adam Dylan Leon, 31, said he flew the plane into the U.S. expecting to be shot down by military aircraft, according to the federal complaint. The complaint says that Leon told authorities he recently was being treated by a psychiatrist.

A background check of the suspect showed no connection to terrorism, according to FBI Special Agent John Gillies in St. Louis.

He was booked and held overnight at the Butler County jail in Missouri before being transferred into the custody of immigration officials. He is currently in the hands of U.S. Immigrations and Customs Enforcement (ICE) in St. Louis, where he was jailed, said ICE spokesman Carl Rusnok.

The Canadian citizen, who was born in Turkey and changed his name from Yavuz Berke, flew erratically across three states before landing the plane Monday night on a rural highway near Ellsinore, Mo., authorities said.

Justin Watson, the state trooper who arrested him, told ABC's "Good Morning America" on Tuesday that the suspect had hoped to be shot down because he wanted to commit suicide but was too afraid to do it himself.

Leon reportedly left his girlfriend a note telling her goodbye and was treated on Friday for depression, UPI reported, citing ABC.

Watson said on "GMA" that Leon told him he was suicidal.

"He made a statement that he was trying to commit suicide and he didn't have the courage to do it himself. And his idea was to fly the aircraft into the United States, where he would be shot down," Watson said on the morning program.

He said Leon "gave me no indication that it was anything other than he was having personal problems and was in an attempt to end his life."

Rusnok declined to confirm Leon's state of mind or reports that he was being treated for depression and had left his girlfriend a written farewell.

"It's part of an ongoing investigation. I can't comment," Rusnok told FOXNews.com.

He said the Turkish national will be sent back home at some stage, but didn't elaborate on the particulars.

"Ultimately since he's a Canadian citizen, he'll be returned to Canada," said Rusnok. "The question is when that will happen."

The Cessna 172 was reported stolen Monday afternoon from Confederation College Flight School at Thunder Bay International Airport in Ontario. It was intercepted by F-16 fighters from the Wisconsin National Guard after crossing into the state near the Michigan state line.

The plane was tracked as a "flight safety issue" and was not believed to be a terrorist threat, Mike Kucharek, spokesman for the North American Aerospace Defense Command, said in a telephone interview from Colorado Springs.

The pilot was flying erratically and didn't communicate with the fighter pilots, Kucharek said. The pilot acknowledged seeing the F-16s but didn't obey their nonverbal commands to follow them, Kucharek said.

The plane's path over Wisconsin prompted a brief, precautionary evacuation of the Wisconsin capitol in Madison, although few workers were in the building at the time and the governor was not in town.

The plane then flew south over Illinois and eastern Missouri before landing near Ellsinore, about 120 miles southwest of St. Louis.

It landed about six hours after the reported theft and had enough fuel for about eight hours of flight, NAADC officials said.

"We tailed it all the way," Maj. Brian Martin said. "Once it landed our aircraft returned to base."

Confederation College confirmed Leon is a student there and that he made an unauthorized flight. The college said in a statement that Leon had access to Cessna training planes.

"His faculty speak very highly of him," college President Patricia Lang said. "Everyone likes him. He was a very good student. He was very engaged in class."

Leon had enrolled in 2006 before failing out, she said. He was readmitted last fall and was living off campus. Lang said she believed he was from Toronto.

Leon was arrested at the Simmons store, a small convenience store near Ellsinore.

Store owner Marilyn Simmons lives near the site where the plane landed on a desolate stretch of U.S. 60 before taxiing onto Route FF. A relative called to tell her about the plane, prompting Simmons to worry about terrorism.

"My husband went and got his guns and gave me one," Simmons said.

She then called the store and told workers to watch out. Sure enough, Leon showed up after a young man who stopped to offer help gave him a ride.

"He gave him $2 and dropped him off," Simmons said. "He asked for the bathroom, then got a Gatorade and sat down at the table. He was there when they came and got him. He was smiling when he went out."

FOXNews.com's Catherine Donaldson-Evans and The Associated Press contributed to this report.