A Colorado man has been charged with the deaths of his pregnant wife and their daughters last week.

Chris Watts, 33, is facing three counts of first-degree murder and six other counts.

Court papers show he claims it was Shanann Watts, 34, who strangled Celeste, three, and Bella, four, after he told her he wanted to separate.

He told police that "in a rage" he then murdered his wife at their home in the small town of Frederick.

Watts is due in court on Tuesday to be arraigned.

His nine felony charges include two counts of murdering a child, one count of unlawful termination of a pregnancy and three counts of tampering with a deceased human body.

Watts' body was found by authorities on Thursday, buried in a shallow grave near an oil tank on the premises of a petroleum company that her husband had worked for.

The bodies of Bella and Celeste were later discovered inside oil tanks near their mother's grave. Watts was 15 weeks' pregnant.

According to the affidavit, investigators discovered that Watts was having an affair with a work colleague, which he had denied to police.

The court papers say that a friend dropped off Watts at her home from a business trip to Arizona last Monday shortly before 02:00.

Watts said to police that he then told his wife that he wanted to split up.

He "informed her he wanted to initiate the separation", according to the affidavit.

Watts told police "it was a civil conversation and they were not arguing but were emotional".

According to the affidavit, Watts told police he then snapped after he "observed Bella 'sprawled' out on her bed and blue and Shanann actively strangling Celeste".

He said he witnessed the alleged strangulation via a baby monitor on his wife's bedside table, the court documents said.

He said "he went into a rage and ultimately strangled Shanann to death", the affidavit says.

"Chris said he loaded all three bodies onto the back seat of his work truck and took them to an oil site."

A friend raised the alarm when Watts did not turn up for a 10:00 doctor's appointment on Monday.

The friend discovered Watts' vehicle in the garage with the children's car seats inside, according to court papers.

She phoned Watts and asked him to come home because she was concerned that Watts - who suffered from lupus, an autoimmune disease - might have fallen ill.

Watts arrived to find the police already at the property.

He let them into the home where officers found Watts' handbag in the kitchen.

The sheets and blankets had been stripped off the couple's bed, but police noted there were no signs of foul play.

Last Wednesday, Watts appealed on local television for the safe return of his family after they were reported missing.

He told reporters: "I'm just hoping right now that she's somewhere safe. I just want them home so bad."

Family and friends have been left stunned by the killings.

Courtesy: BBC