Dharmendra Kumar opened up the knob of a gas cylinder and set afire his wife Lalita Devi (25) and daughther Archana Kumari (2) in his house last night, police said.
The mother and daughter died on the spot.
The man, arrested on a complaint by Lalita Devi's father, committed the crime after his in-laws failed to meet his dowry demands, police said.
Raids were being carried out to arrest three other accused persons, they said.