Police inspector Vipin Tamrakar of the Gohalpur police station said that Brijesh strangulated his wife Prabha (26) to death, after which he killed his two daughters, aged two and four.
Thereafter, he hanged himself from the roof of his house yesterday, the police official said.
The incident came to light yesterday night after the neighbours informed the police following which the door of the house was opened, the police official said.
Brijesh, who was married eight years ago, started living separately a year ago, in a portion of the house owned by his father Hiralal Burman, after a discord, the police official said.
Bodies of the deceased have been sent for postmortem and further investigations are on, the police official said.