US benchmark equity indexes fell Thursday following record closings in the previous session, as markets analyzed remarks by a Federal Reserve official and the latest macro data.

The Nasdaq Composite declined 0.3% to 16,698.3, while the S&P 500 lost 0.2% to 5,297.1. The Dow Jones Industrial Average dropped 0.1% to 39,869.4 after crossing the 40,000 level for the first time during the session.

Consumer discretionary and materials saw the steepest declines among sectors, while only consumer staples closed higher.

Cleveland Fed President Loretta Mester said it's likely "prudent at this point" for policymakers to hold the restrictive monetary policy stance for longer as they seek clarity about the inflation path.

"Moving rates down too soon or too quickly without sufficient evidence to give us confidence that inflation is on a sustainable and timely path back to 2% would risk undoing the progress we have made on inflation," Mester said. "And with labor markets and economic growth both being very solid, we do not need to take that risk."

Official US producer prices data for April were released Tuesday, followed by the consumer inflation report Wednesday.

"On the heels of a hotter-than-expected (producer price index) report, yesterday's cooler-than-expected (consumer price index) report was a welcome reprieve from the consistent upward momentum in price pressures since the start of the year," Stifel said in a note. "Still, it is one month of data that is neither consistent with achieving 2% in the near term nor even yet convincing that inflation is back on a sustainable pathway towards 2% in the medium term."

The US two-year yield rose 6.1 basis points to 4.8% Thursday, while the 10-year rate added 2.3 basis points to 4.38%.

In economic news, US housing starts rebounded last month as multi-family building projects grew by double-digits, government data showed.

"Overall, multi-family starts remain subdued amid a healthy supply pipeline, with permitting activity suggesting this is likely to continue moving forward," TD said in a note.

US industrial production was flat in April versus market expectations for a gain as manufacturing output posted a surprise decline, according to Fed data.

Weekly applications for unemployment insurance in the US decreased less than Wall Street's expectations, while the four-week moving average rose, government data showed.

Manufacturing activity in the US Mid-Atlantic region declined more than expected this month as orders and shipments fell into negative territory, the Philadelphia Fed said.

West Texas Intermediate crude oil rose 0.8% to $79.28 per barrel Thursday.

In company news, Deere (DE) shares fell 4.7%, among the steepest declines on the S&P 500, after the agriculture and construction equipment manufacturer cut its full-year profit outlook as lower shipment volumes dragged down its fiscal second-quarter results year-on-year.

Walmart (WMT) logged better-than-expected fiscal first-quarter results buoyed by gains across all operating segments, prompting the retail giant to raise its full-year guidance. The company's shares jumped 7%, the best performer on the S&P 500 and the Dow.

Gold decreased 0.5% to $2,382.30 per troy ounce, while silver rose 0.4% to $29.84 per ounce.