The husband accused of killing his pregnant wife and two young daughters, and then making an emotional televised appeal for their safe return, has appeared in court for the first time.

Christopher Watts, 33, was led into the court room in Weld County, Colorado on Thursday in an orange jumpsuit and shackles. He was denied bail during the appearance.

The body of his wife Shanann Watts, 34, was found earlier Thursday (US time) at the Anadarko oil and gas site where her husband Christopher once worked near their home in Frederick, on the northern outskirts of Denver, the Daily Mail reported.

The bodies of the couple's two daughters Bella, four, and Celeste, three, were found later in the afternoon at the same site.

Watts didn't speak as he was escorted into the courtroom. He looked down for much of the hearing but made eye contact as the judge reviewed his rights.

Though formal charges have not yet been filed, he could face three charges of murder and three charges of tampering with evidence. Judge Marcelo Kopcow told prosecutors to file formal charges by Monday and set a Tuesday hearing to review the charges with Watts.

Kopcow approved a request by Watts' attorney that police preserve all written notes and notify the defense team before autopsies are performed. Prosecutors said it's not clear when that will happen.

Prosecutors say they believe the mother and children were killed in their home and the bodies later moved, but no cause of death has been made public in the case.

Shanann went missing on Monday after returning from a business trip to Arizona at around 1am. She promotes a weight loss supplement for a living and travels the country to attend sales conferences.

The children spent the weekend at home with their father while their mother was away working, police said.

Watts said the last time he saw his wife was at 5.15am on Monday when he left for work. He said that they had stayed up having an 'emotional conversation' between her arrival at 1am and his departure for work.

He said he became worried when she did not reply to his text messages later in the morning. Watts said he became panicked when a friend arrived at the home at noon and there was no answer.

Shannan was 15 weeks pregnant. Her family revealed on Thursday that she was carrying a baby boy who was to be named Nico.

She and her husband were due in court next week to face a lawsuit from their homeowners' association, which was suing them for US$1500.

They had previously faced financial difficulties, and filed for bankruptcy in 2015 to escape crushing credit card debts and focus on paying off their mortgage.

Friends, however, have said that they never noticed anything wrong between the couple. In June, Shannan shared an ultrasound of their unborn third child on Facebook, calling Watts "the best dad us girls could ask for".

In the days that followed Shannan's disappearance, Watts gave several media interviews where he made conflicting statements before he was finally arrested on Wednesday night.

Authorities are being extraordinarily tight-lipped about their investigation and are refusing to say how they think Shanann died.

They would not indicate on Thursday when they think the mother was killed, or if they believe the children were still alive when she returned on Monday from her business trip.

Nor did investigators reveal what prompted Watts to make his apparent confession.

He did lead police to Shannan's body, police said, adding on Thursday that they also believe they known the location of the two girls' bodies.

The Weld County District Attorney asked a judge to seal the arrest affidavit and was granted his request.

On Thursday, the DA said he hoped to share more details on Monday when he planned to lodge formal charges against Christopher.

Shanann's family, in the meantime, have been left outraged by the investigation. They say police "dragged their heels" in taking Christopher into custody.

"The cops drag their feet. He was the only one with them and backed his truck into the garage," Shanann's brother Frankie Rzucek fumed on social media on Thursday

"Doesn't take a genius to know who was suspect. My blood is boiling."

On Thursday, Shanann's family issued a statement sharing their grief.

"The family are deeply saddened over the inhumane murders of their beloved daughter and sister Shanann, her unborn child and her beautiful daughters Bella Marie and Celeste Cathryn.

"Please allow the family, and those close, to mourn their passing in private."

On Wednesday, police were seen searching the family's home at the same time.

They towed away Watts' truck and were seen putting other evidence into bags.

Hours earlier, Watts appeared on NBC's Today show where he said he had "no idea" where they went.

"I don't feel like this is even real right now. It's like a nightmare I can't wake up from," he said.

"When I got home yesterday it was like a ghost town. She wasn't here. The kids weren't here. I have no idea, like, where they went," he said.

However, in a separate interview, he told Fox that Shanann told him she was going to a friend's home with their daughters.

"She said she was going to a friend's house with the kids and that's the last thing I heard, and that was it. It was very vague," he said.

"In my heart I believe that she is somewhere and I hope that she is safe."

Elsewhere, he said he was not so sure.

"Right now I don't want to just throw anything out there. I hope that she's somewhere safe right now and with the kids.

"But could she have just taken off? I don't know, but if somebody has her and they're not safe, I want them back now."

Turning to the camera, he made a direct plea to them, saying: "Shanann, Bella, Celeste, if you're out there just come back.

"If somebody has her, just bring her back.

"I just need to see everybody. I need to see everybody again.

"This house is not complete without anybody here. Please bring her back."

When asked if they'd had an argument before she vanished, he said: "It wasn't an argument it was an emotional conversation.

"I'll leave it at that."

Breaking in to a smile, he then said: "I just want them to come back.

"This has got to stop. Someone's got to come forward."