Weld County — A man in Frederick has been arrested in connection to the disappearance of his wife and two young daughters, according to the Frederick Police Department.

Chris Watts, 33, is being held on suspicion of three counts of first-degree murder and three counts of tampering with a deceased human body, according to court documents. He was taken into custody at about 11:30 p.m. on Wednesday.

His wife, Shanann Watts, 34, and their two young daughters, Bella, 4, and Celeste, 3, were reported missing on Monday.

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During a press conference on Thursday morning, investigators said they found a body which they believe to be Shannan. Investigators also said they have strong reason to believe that they know where the bodies of the children are.

Chris Watts spoke with 9NEWS reporter Jordan Chavez on Tuesday. In the interview, he said it was 'earth-shattering' to not have his family there.

"It's like a nightmare that I can't wake up from," Chris said.

He also glowingly described his children.

"Celeste is just a bubble of energy. I call her rampage because she’s got two speeds. She’s got go or she’s sleeping," he said. "Bella is the more calm, cautious, mothering type. She’s more like me. She’s more calm. Celeste definitely has her mom’s personality. She’s always gung-ho ready to go."

When asked about what he would say to people who think he may have had something to do with his family's disappearance, Chris said all he wanted was his family to be safe.

"Everyone is going to have their own opinion on this. I just want people to know I want my family back. I want them safe. I want them here. This house is not the same", he said.

You can watch the full interview in the video above.