He was ordered held without bail ahead of hearing next Tuesday to discuss formal charges.
Shannan Watts' husband, Christopher Watts, 33, is being held without bond for investigation of three counts of first degree murder and three counts of tampering with evidence, the Denver Post reports. Town officials said the two other bodies "were found in close proximinity to the other body whom officers strongly believe is Shanann's".
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.
He also told told the "Today" show, "I don't feel like this is even real right now".
Chris raced home but found the house empty, even though his wife's auto was still parked in the driveway, which prompted him file a missing persons report with the police at 1.40pm. "Please keep Shanann's parents and brother in your prayers".
Watts, from Frederick, Colorado, has been arrested in connection with the case, according to the Frederick Police Department. Police were notified by one of the woman's friends and later conducted a welfare check, during which they recovered her cell phone, purse and keys.
When asked about his relationship with his children, Watts said they were "his life" and that their "smiles light up my life".
"I'm surprised that it happened", he said. "I just want them to come back".
However, representatives from the district attorney's office noted that the home was released by law enforcement at approximately midnight Wednesday, so it's not likely they will go back to collect more evidence.
The FBI and Colorado Bureau of Investigation are investigating this case. She said she was going to a friend's house with the kids and that's the last thing I heard, and that was it.
"I texted her a few times, called her, but I didn't get a response" later Monday, Chris Watts said before his arrest.
Watts continued: "I just want everybody to just come home".
Shanann Watts, 34, was 15 weeks pregnant when she was reported missing on Monday. I need to see everybody ... She had been in a hurry to sell a house in Belmont, west of Charlotte, and left behind the furniture as part of the sale, said the man who bought it, Byron Falls.
Shanann Watts was reported missing by her friend, not by her husband. "It was an emotional conversation - I'll leave it at that", he replied.
Shanann Watts' Facebook account paints a portrait of a happy married life, with a constant feed of photos and videos of friends, relatives and herself.