A 35-year-old woman set herself and her three children ablaze at Umerpur village in the district Friday, said police.
The children died while she was rushed to a hospital in a critical condition, said SHO Yashpal Singh.
The woman, identified as Naseema, took the extreme step over a family dispute.
Her parents alleged that she was being harassed by her in-laws.
The woman had locked herself in a room with son Anas (9) and daughters Aisha (7) and Etah (2),police said.
Her husband, identified as Jabbar, was not at home.