He told police he then put the bodies of his wife and two daughters into his work truck and took them to an oil site.
A court filing by prosecutors says Shanann Watts' body was "recovered from a shallow grave near an oil tank", and that "law enforcement recovered the bodies of defendant's two daughters from inside oil tanks located near the grave of their mother".
Watts claims that he and his wife had an "emotional" conversation shortly before the strangling and that he told her he wanted to initiate a separation after she returned home around 2 a.m. from a business trip on August 13.
Christopher said that he went downstairs for a moment after the conversation and when he returned to the couple's bedroom, he claims he saw, via baby monitor, Bella "sprawled out" on her bed and blue in the face, then he claims he saw Shanann "actively strangling" Celeste via a baby monitor in the room.
The case began August 13 when Shanann Watts, Celeste and Bella were reported missing by a friend in their town of Frederick, Colorado.
Police spoke with Watts several times before he was arrested late on Wednesday, according to the affidavit.
Autopsies have been completed but not released.
Christopher Watts also faces charges of unlawful termination of a pregnancy and three counts of tampering with a deceased human body. He said the conversation left them both "upset and crying".
Watts' attorneys have not publicly commented on the case.
Watts said in an interview with TV station Denver 7 on that day that he was torn up inside about his family going missing and pleaded for their return.
Rourke said Watts will be advised of the charges and possible penalties Tuesday morning.
He wound up changing his story, however, on the second interview after being allowed to speak with his father. If they're not safe right now, that's what's tearing me apart.
With Chris Watts' approval, police searched the house and found his wife's cellphone stuffed inside a couch.
Shanann Watts' social media social media posts show the girls playing with their father and each other. "Keep the prayers coming", Frank Rzucek said.
Shanann, Bella and Celeste were reported missing August 13 from their home in Frederick, a town of about 8,600 people 30 miles north of Denver. Court documents filed by Merson said the girls had been submerged in crude oil for four days.
"I don't want the horror to replace how attractive she was", Gentert said.
But a June 2015 bankruptcy filing captured a picture of a family dealing with financial strain.