The husband of a pregnant woman who went missing with her two daughters, ages three and four, has confessed to killing them and has been detained, law enforcement sources have revealed.

Police are in the process of recovering the bodies of Shanann Watts, 34, and her daughters, Bella and Celeste, who goes by "Cece", two sources told Denver7, the Daily Mail reported.

Chris Watts, Shanann's husband, has reportedly been detained just hours after he was interviewed about his wife's disappearance and said: "I have no idea, like where they went."

The FBI and the Colorado Bureau of Investigation had been searching for the mother, who were declared "endangered and missing" on Tuesday.

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Shanann, who is 15 weeks pregnant with her third child, went missing from Frederick, Colorado, on Monday after she returned home from a business trip.

Chris said he last saw his wife at 5.15am in before he left for work.

In an interview with NBC's Today show, the married father-of-three said he and Shanann had an emotional conversation that morning, but he would not go into further detail.

Chris said his wife informed him she was planning to go with their girls to a friend's house. That was the last he's heard from her, according to Fox 31.

Before going out the door, he saw Bella and Celeste asleep in their beds via a baby monitor.

Throughout the morning, Chris said he called Shanann and sent her several text messages but received no response, which struck him as unusual.

Then around noon, he said he saw via their doorbell camera that a friend stopped by, but no one came to the door.

Shanann Watts, 34, with her two daughters, three-year-old Celeste, left, and four-year-old Bella, right. Photo / Supplied
Shanann Watts, 34, with her two daughters, three-year-old Celeste, left, and four-year-old Bella, right. Photo / Supplied

Chris said he raced home but found the house empty, even though his wife's car was still parked in the driveway, which prompted him file a missing persons report with the police at 1.40pm.

WATCH HUSBAND'S EMOTIONAL PLEA TO FIND HIS WIFE AND DAUGHTERS

"When I got home yesterday, it was like a ghost town," he said. "I was trying to get home as fast as I can, I was blowing through stop lights, I was blowing through everything just trying to get home as fast as I can because none of this made sense.

He added: "I don't feel like this is even real right now. It's like a nightmare I can't wake up from."

Frederick Police Department Detective Dave Baumhover said the Watts' home showed no signs of foul play and he added there was nothing to suggest Shanann has mental health problems.

A friend and colleague of Shanann's, Amanda Thayer, said the pregnant mum left all of her personal belongings, including her phone, wallet and purse, inside the house.

According to her Facebook page, Shannan works as a brand promoter for the company Le-Vel – the maker of the Thrive weight loss and wellness patch.

The married father-of-three said he and Shanann had an emotional conversation the morning she went missing. Photo / Supplied
The married father-of-three said he and Shanann had an emotional conversation the morning she went missing. Photo / Supplied

In one of her final Facebook status updates posted on August 8, the busy mum-of-two with a third child on the way listed all the things she had done that day and bragged about having enough energy to accomplish everything "while 4 months preggo", which she attributed to her Thrive patch.

The post was accompanied by a selfie showing Shanann smiling into the camera and pointing to a square pink-and-white sticker on her chest. She included the hashtag #'Doctorapproved.'