* Bodies with gunshot wounds, explosive device discovered
* Security concerns on rise ahead of Sochi Winter Olympics
* Still unclear if killings linked to the Games
* U.S. FBI chief endorses (Clarifies number of bodies found in lead, adds FBI, paragraphs 4-5, 17-18)
MOSCOW, Jan 9 (Reuters) - Russia has put security forces on combat alert in the southern Stavropol region after the discovery of at least five corpses with gunshot wounds and an explosive device there barely a month before the start of the Winter Olympic Games in Sochi.
Stavropol, about 300 km (190 miles) from the Black Sea resort of Sochi, is the gateway to the North Caucasus region, where Russia faces an insurgency by Islamist militants who have threatened to try to prevent the Olympics going ahead.
President Vladimir Putin, who has staked his political and personal prestige on the Games, has already ordered security measures beefed up nationwide after suicide bombers killed at least 34 people in separate attacks last month in Volgograd, another southern Russian city.
In Washington, the head of the FBI gave a vote of confidence to Russia's Olympic security preparations.
"I think the Russian government understands the threat and is devoting the resources to address it," FBI Director James Comey told reporters.
The corpses were found late on Wednesday in four cars in two separate locations in the Stavropol region.
A homemade explosive device in a bucket was also found near one of the vehicles, according to Russia's Investigative Committee, which said it and the Federal Security Service (FSB) were exploring several possible motives for the crimes.
No other details were immediately available and it was not clear if the killings had any connection to the Sochi Games.
The acting governor of the Stavropol region, Vladimir Vladimirov, told the state Rossiya 24 broadcaster that authorities had taken measures "to annihilate or detain criminals who might have taken part in these cases".
Rossiya 24 reported a sixth body was found in similar circumstances and said two of the victims were local taxi drivers. This report could not immediately be confirmed.
The broadcaster showed footage of uniformed security officers searching vehicles and questioning residents in the region on Thursday.
"It is scary," said Natalia Petrova, a local resident. "We fear for ourselves and we fear for our children."
The Winter Olympics open on Feb. 7 in Sochi, which is located on the western edge of the mountainous Caucasus region where the insurgents want to carve out an Islamic state.
The head of Russia's Olympic Committee has said Moscow has taken every possible measure to ensure the Games' safety.
Russian forces went on combat alert in Sochi on Tuesday and about 37,000 personnel are now in place to provide security at the Games, Russian officials say.
Comey said the FBI will have "at least a couple dozen people" in Moscow and some in Sochi to assist the Russians, with some already on location.
"We have been in regular communication, including me personally, with their security organizations to make sure that we're coordinating well," Comey said. (Reporting by Tatiana Ustinova, Alessandra Prentice and Gabriela Baczynska; Additional reporting by David Ingram in Washington; Editing by Gareth Jones and Sonya Hepinstall)