When investigators found Lloyd's body, McCauley said, the keys to a rental car registered to Hernandez were found inside his pocket.
Lloyd, 27, was a semipro football player who worked for a landscape company. His sister, Olivia Thibou, said last week that her brother was dating the sister of Hernandez's fiancee.
Lloyd and Hernandez were at a Boston nightclub together the night of June 14, she said.
Second arrest in homicide investigation
A second man has been arrested as part of the investigation into Lloyd's death, but authorities haven't provided details.
Carlos Ortiz, 27, was arrested Wednesday in Hernandez's hometown of Bristol, Connecticut. The arrest occurred in connection with the homicide investigation, a Connecticut state prosecutor said in a statement Thursday.
Ortiz was charged as a fugitive from justice, New Britain State's Attorney Brian Preleski said, indicating that documents had been sealed by court order.
In Massachusetts, a warrant for Ortiz's arrest says he faces a charge of possessing a firearm without a license, according to court documents obtained by CNN.
Ortiz spoke with investigators in Connecticut on Tuesday, according to an affidavit filed by a Massachusetts State Police trooper. In that interview, the affidavit says, Ortiz told police that he had been carrying a firearm in North Attleborough, Massachusetts, on June 17 -- the day investigators have said Lloyd was killed.
Details about Ortiz's alleged connection to the Lloyd case were not spelled out in the court documents CNN obtained.
He was being held on $150,000 bond in Hartford on Thursday.
It was not clear from court documents whether Ortiz has an attorney.
A 'model inmate'
During his first day in jail, Hernandez has been "polite and cooperative" and a "model inmate," Bristol County Sheriff Tom Hodgson said.
Hernandez was being held in the jail's medical unit, which is standard for someone who hasn't been incarcerated before, Hodgson said.
The former pro athlete showed "no apparent nervousness" in jail, Hodgson said, but he noted the difficulty of going from having thousands of people cheering for him to being "just a number."
While in the medical unit, Hernandez will be locked up for 23 hours a day, with a break for a shower and phone calls, the sheriff said.