A father in the US state of Colorado has been arrested in connection with the disappearance of his pregnant wife and two young daughters.

He has reportedly confessed to killing the family, according to local media.

Shanann Watts, 34, was 15 weeks pregnant when she was reported missing on Monday along with the couple's daughters Celeste, 3, and Bella, 4.

"We have strong reason to believe that we know where the bodies of the children are and recovery efforts are in process on that."

The body was found on the premises of Anadarko Petroleum Company, according to local media.

Watts has worked for the company, according to bankruptcy court records, reports the Denver Post.

The FBI was also called in to help the search, and released descriptions of the family so they could be more easily identified.

Police launched an investigation after a close friend of Shanann Watts said she was not answering her phone.

On Facebook, a friend posted that she had vanished without taking her phone, children's car seats, purse or children's medicine.

Chris Watts spoke to reporters about the hunt, telling local ABC affiliate Denver7 that he wanted "everybody to come home".

"I hope that she's somewhere safe right now and with the kids," he told the station.

"If somebody has her and they're not safe, I want them back now," he said.

Police passed out missing person fliers on Wednesday.

But late on Wednesday officials announced that Watts had been arrested and was being held in the Weld County Jail.

"The Frederick Police Department, in conjunction with the FBI and the Colorado Bureau of Investigation, has made an arrest in connection to the missing person's case," an update posted on the town's Facebook page read.

"Chris Watts, the husband of Shanann, has been placed into custody and is awaiting charges."

According to CBS News, he agreed to bring officers to the location of the bodies.

Shanann Watts' family provided a statement to the network saying: "It is with deep hurt, confusion and anger to confirm our beautiful cousin Shanann Watts, her unborn child, and her two angelic daughters, Bella (4), Celeste (3) were viciously murdered by husband Chris Watts; who confessed to the killings."

"Please keep Shanann's parents and brother in your prayers."

Shanann Watts had posted a number of pictures of her husband and daughters on Facebook.

One was captioned: "Without these 3, I wouldn't be a mom! I couldn't imagine my life without them!"