Mr Kelly started by asking Lundy how he was feeling.
"Truthfully? Absolute shit," he replied.
Mr Kelly asked Lundy what his theory was for what had happened to his family.
Lundy said the only thing he could think of was that it was a "burglary gone wrong".
Through tears, he said the only thing that was getting him through was that they died quickly.
"Who the hell killed them? Who could kill a beautiful little girl especially?"
The family's private life was laid out in detail during the interview.
Lundy said while he and his wife's sex life had deteriorated, he had a loving marriage.
"The only times Christine and I slept apart was when one of us was crook."
He denied he was having an affair.
"I love my wife too much for that."
But he admitted to "flirting".
When he was told a pregnancy test had been found in his wife's bedside table, Lundy was visibly shocked: "Shit. I had no idea."
Then he remembered there was an issue with her menstrual cycle. "Maybe she was worried. I don't know, I didn't know she had that."
Mr Kelly asked Lundy if he and his wife were verging on separation.
"No way...I'd be surprised if anyone thought that," Lundy replied.
Shortly after his family's funeral, one of Lundy's insurance broker's approached him about his wife's life insurance.
Lundy told Mr Kelly he believed a new policy had come into effect increasing the amount to $500,000 and he had no idea what he would do with the money.
After the interview was shown, Mr Kelly told the court about a conversation he had with Lundy in February 2001, in which, unprompted, he spoke at length about petrol being stolen from motels.
"I was surprised that he brought it up."
The jury was also shown the start of a formal police interview with Lundy where he was cautioned, taken on February 23, 2001.
The rest of the interview would be played tomorrow.
Also giving evidence today was Professor Michael Horowitz from Adelaide University's medical department who said Mrs Lundy and Amber would have eaten their last meal no longer than two hours before they were killed based on evidence that the top part of the small intestine being empty.
They had eaten a McDonalds meal in the early evening, but prosecution lawyer Ben Vanderkolk said the food seen in Mrs Lundy's stomach during her post mortem exam were potato chips and fish and chip-style chips and possibly fish, which were not part of the McDonald's meal.
The jury trial in front of Justice Simon France continues.