The incident took place in Pawan Nagar area in Sangamneshwar locality where Suresh Rambharose Sahu took the extreme step, they said.
The incident came to light when neighbours knocked the door to call them for fetching water and did not get any response. Later, when they broke into the house, the family was found dead following which they informed the police.
The deceased were identified as Suresh Sahu (40) wife Sunita (35) and his four children -- Ankita (14), Deepak (9), Roshani (3) and seven-month-old Dimple.
However, the reason behind the killings is still known, police said.
According to eye-witnesses, Suresh might have committed suicide due financial burden as the family had no dispute.