The loco pilot of a train spotted the five bodies lying near the tracks and informed the station master, who then alerted the GRP officials.
A senior GRP official said the family must have committed suicide by jumping in front of a moving train.
The deceased have been identified as Dharanidhar Panda(50), his wife Sangeeta Panda (45) and their three daughters - Ananya (16), Aparajita (14) and Sidhi (3).
"Preliminary inquiry suggests that financial crisis and loan burden drove the family to take this extreme step, but the exact reason can be ascertained only after a thorough investigation," said Chintamani Pradhan, inspector in-charge of GRP, Sambhalpur.
Dharanidhar Panda's elder brother, Somnath Panda, said his brother was a friendly person and the reason behind the incident was not clear.
The bodies of the middle-aged couple and their three daughters have been sent for autopsy, Pradhan added.
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