Chris Watts' haunting prison confession about the night he killed his family.

When Chris Watts closes his eyes, he hears his daughter screaming; “Daddy, no!”

The Colorado Bureau of Investigation has released a new report, a prison interview from February 18. It’s the first time Watts, 33, has publicly confessed to murdering his wife and two children.

He is currently serving three consecutive life sentences for the murder of his pregnant wife Shanann 34, and their daughters Bella, four and Celeste, three.

This is the moment his neighbour showed him footage of him leaving his house after murdering his wife. Post continues after video.

The police report reveals he and his wife had sex when she arrived home from her work trip at 2am the day of the murders.

He felt she knew he had been cheating on her, because he had used his credit card to pay for dinner with his co-worker.

They began having sex in the missionary position and Watts said he felt ‘strange’ and questioned who he had become. “The sex was like a trigger point, like you hit the push button on a bomb and it just blows up,” he said.

Watts told investigators that morning they had an argument in their bedroom, during which he admitted to having an affair.

He said his wife told him; “you’re never gonna see the kids again.”

He ‘snapped’ and put his hands around her neck and strangled her.

“I wish I could’ve let go,” Watts said.

“It just felt like there was already something in my mind that was implanted that I was gonna do and when I woke up that morning it was gonna happen and I had no control over it.”

Watts was wrapping Shanann’s body in a bed sheet when Bella walked in, asking what was wrong with Mummy.

“Mummy don’t feel good,” Watts said he told her.

Watts said he tried to carry Shanann down the stairs but lost his grip and ended up pulling her along.

Bella was watching and started to cry.

Watts believes Shanann's feet hitting the stairs as he dragged her woke their youngest, Celeste - she came out of her room.

In an effort to cover his tracks, Watts pulled Shanann's wedding ring off and put it on the counter so it looked like she wanted a divorce, and threw a book about therapy in the bin so it looked like she thought there was no hope for their marriage.

He reversed the car up to the house and put Shanann in the backseat. He made the girls get in with her.

He also packed a gas can, as he had plans to take his own life at the oil site. He said he didn't end up doing that, because he was worried an explosion would hurt others or start a huge fire.

Bella and Cece laid in eachother's laps during the drive, dozing in and out of sleep.

Bella told him, "Daddy it smells."

Watts then describes removing Shanann from the car and then suffocating his daughters - one by one.

Celeste had a blue Yankee's blanket which he put over her head. He then dumped her body in an oil tank.

Her older sister Bella knew what was happening...she saw Cece die, and yelled "Daddy, no!" before he did the same to her.

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Watts admitted to investigators those words ring in his ears. He also said he mourns his wife and children daily.

He has pictures up in his cell of them, and claims to talk to them morning and night. He has Celeste's favourite children's book in there too, and reads it to his daughters.

"Right now I'd have a five year old...a three-year-old...and more than likely a one-month-old son...and a beautiful wife..and right now it's just me," he told police.

Watts said other inmates constantly yell out to him, describing ways they would harm him, if they got the chance.