A man who strangled his pregnant wife and suffocated their two young daughters has described how he carried out the murders in a “rage” and how his four-year-old girl pleaded “daddy, no!” as he killed her.

Christopher Watts is serving three life sentences after admitting killing his wife Shannan and their children, Bella, four, and three-year-old Celeste in Frederick, Colorado, in August last year.

A report and audio recordings of his prison confession last month to police have been released in which he admits he lied to officers.

He had initially told them he killed his wife because she strangled their girls after learning he wanted a divorce.

In the five-hour interview, he revealed his daughters were still alive when he put his dead wife’s body in his truck and drove them all to the oil field where he worked.

That is where their remains were found.

Christopher Watts was sentenced to life without parole, photo:skynews

Watts said he strangled his 34-year-old wife in their bed after he told her their marriage was over and she said he would never see their children again.

He said his wife correctly suspected that he was having an affair, but he did not tell her about his ongoing relationship with a co-worker before killing her.

Watts said the woman “never asked him to get rid of his family” but their relationship may have “contributed” to his actions.

He told Bella their mother was unwell after the child walked into the couple’s bedroom and asked what was wrong with “mommy”.

Bella watched as he wrapped Shannan’s body in a bed sheet and started to cry as he pulled it down the stairs and put it on the floor of the backseat of his truck.

Celeste was now awake, he said, and he put the girls into the back of the truck too, each clutching a blanket and Celeste also had a stuffed animal toy, and drove them to the oil field.

Watts claimed he did not plan to kill his daughters, who asked him, “what are you doing with mommy?” as he removed her body from the truck.

The bodies of all three victims were found at an oil field

He then used Celeste’s blanket to suffocate her as Bella watched, and dropped her body into a crude oil tank.

When he returned to Bella, she asked him: “Is the same thing going to happen to me as CeCe?”

Cece was Celeste’s nickname.

Watts then smothered the child with the same blanket as she fought back, shouting: “Daddy, no!”.

He dumped her body in a separate oil tank before burying his wife nearby.

The 33-year-old avoided a death penalty by pleading guilty in November.

He received three consecutive life sentences plus 48 years for unlawful termination of a pregnancy and 12 years for tampering with a human body.

On the killing of his children, he said: “I just don’t understand how it happened.

“I mean I’ve even read books that say, you know like, no dad would ever do anything to hurt his children.”

On the murder of his wife, Watts said: “I don’t know if it was just like Shannan coached me on to do it or if it was just like rage that I had never seen before.”

He added: “I don’t think about anything really. Like how everything was going to happen, I don’t know, like why it happened. Why I left everything out there in the field and why, like all this stuff like, just none of this makes sense.”

Watts told police he read the Bible for the first time in prison and that he keeps photos of his wife and daughters in his cell and talks to them “every morning and every night”.