Police Maj Gen Pattanawut Angkanawin today said that gunmen opened fire at the family's home in the Bacho district of Narathiwat province.
He said the three children, aged 6, 9 and 11, were killed immediately in the last night attack.
Pattanawut said the family had returned from a local mosque and was about to enter their house when gunmen shot at them from the roadside.
Police said they were investigating if the deadly assault was carried out by Muslim insurgents, who have targeted Muslims viewed as sympathetic to the authorities.