The couple married in October 2012 and their second child was born a New Zealand citizen in March 2015.
But the Minister of Immigration had determined in 2013 that Wu and her parents were granted visas only because she had not disclosed the relationship.
The family were issued with a deportation order in April 2014 - a year before the second child was born.
Zhong was also issued with a deportation notice when he applied for a further work visa.
They appealed the rulings claiming there were "exceptional circumstances of a humanitarian nature" because of their New Zealand-born child.
Wu's parents' appeal was successful but not for Wu, Zhong and their children.
The Immigration and Protection Tribunal found no exceptional humanitarian circumstances applied to them.
The tribunal considered that their children's interest would be "substantially served by being in the care of both their parents whether in China or in New Zealand".
The family took their case to the Court of Appeal, appealing the High Court of Auckland decision.
They argued that the humanitarian circumstances of the case had not been fully considered.
However, it was found that the family had not met the threshold to appeal its case and their application for leave to appeal was declined.