Jasoda Yadav along with her daughters Shivani (15) and Nandini (12), and son Shailendra (6) jumped into the well in Dashara village of the district in the morning, police said.
Villagers rescued them and rushed to a nearby hospital where Nandini and Shailendra were declared dead by the doctors, they said.
Jasoda and Shivani are being treated at the hospital. The reason behind the woman taking the extreme step has not been ascertained as the police has not recorded her statement yet, police said.