Sandeep's father, Pyara Dhaliwal, visited the memorial that has sprung up near the spot where the deputy was fatally shot. Members of the community have left messages, candles and flowers to the growing site to show their appreciation for Deputy Dhaliwal.
"I lost my hero," Pyara said of his son.
FULL VIDEO: Fallen deputy's father speaks at vigil site after son's killing
Sandeep has been described as a caring, generous officer of the law, making a difference to all those he encountered. After Sandeep's own mother died last year, Pyara said Sandeep stepped into a care-giver role for his father.
Pyara wanted to make sure everyone knows how much he appreciates the outpouring of support.
"Thank you to the sheriff's department, to the community, to the whole world for the support," Pyara said. "The honor I get from the world, from this community, is priceless. But I am missing him and I will never get him back. But he is here with me."
Sandeep's younger sister, Ranjeet Kaur, joined a crowd on Saturday and lit a candle for her brother. She remembered a man who loved his job.
"He was a really great person. He didn't deserve all this. He was a great person. He helped everybody. He never said no. He does as much a he can. I think this was the wrong time and the wrong place," said Kaur. "He had a big heart, like I said before. He helped everybody."
"He was a hero, a respected member of the community, and he was a trailblazer," Sheriff Ed Gonzalez said in a Friday afternoon press conference.
Dhaliwal made headlines in 2015 for being the first sworn law enforcement officer with the Harris County Sheriff's Office to wear a turban.
"It will give me a chance to open up the conversation," he told Eyewitness News at the time.
MORE: What to know about Sikhism, the faith of Deputy Sandeep Dhaliwal
Dhaliwal leaves behind a wife and three children.