Chris Watts was being held in jail and will appear in court Thursday. He was ordered held without bail ahead of hearing next Tuesday to discuss formal charges.
The two officials told the news station they believe they know where the bodies of 34-year-old Shanann Watts and her daughters, 3-year-old Bella and 4-year-old Celeste, are and were in the process of recovering them.
Police did say they found the bodies near where they found Shanann Watts'.
Soon after his family's disappearance Chris played the anxious husband and father, and in several TV interviews he made a public plea for their return.
Shannan Watts was from Moore County, N.C. Wednesday, her husband, Chris Watts, was taken into custody and later admitted to killing all three, according to law enforcement and family.
"I miss them", Watts said of feeding them dinner.
"In my heart, I believe that she is somewhere and I hope that she is safe", he said.
He said he hasn't spoken to her parents since the tragedy, but a neighbor told him they flew to Colorado. In addition to local authorities, the FBI and Colorado Bureau of Investigations have joined the search, the Denver Channel reports.
"Shanann has a schedule and she goes by that schedule and she does not deviate", said high school friend Lauren Arnold.
Husband detained in case of missing pregnant woman and 2 daughters
The two planned to meet later, but Watts, 34, didn't answer her phone or show up for a doctor's appointment, the friend said.
Watts continued: "I just want everybody to just come home".
Watts' friend told KDVR she called police on Monday and walked through the house with officers as they did a welfare check. She declined to say when he left the company. Shanann Watts, 15-weeks pregnant, and her young daughters - Celeste and Bella - suddenly missing without a trace early Monday morning.
Shanann Watts was reported missing at 1:40 p.m. MT on Monday, according to Frederick Police Department Detective Dave Baumhover.
A family friend reported Shanann Watts and her daughters missing on Monday, police said.
When asked if they'd had an argument before she vanished, he said: "It wasn't an argument it was an emotional conversation".
"I just want 30 seconds alone with that heartless psychopath".
In one clip posted on Facebook just two months ago, on June 14, Bella sings, "My daddy is a hero, he helps me grow up strong".
"I'll leave it at that".More news: Plane crashes into house; pilot dies
More news: Mou dares Pogba to hand in transfer request
More news: Tesla board forms independent group to explore going private