Chris Watts had initially told reporters that his wife, 34, disappeared without a trace, leaving her purse and keys at home.
"When I came home and then walked in the house, nothing. Vanished. Nothing was here," Chris Watts told ABC Denver affiliate KMGH-TV Tuesday. "My kids are my life. ... I mean, those smiles light up my life."
Nick Thayer said he and his wife spent Tuesday at the Watts' home, helping their friend through ideas on how to find his missing wife and daughters. Nick Thayer said it didn't cross their minds to ask Watts if he was involved.
"He fooled us. And I'm so sorry. We just thought we were doing the right thing by being a good friend," Nick Thayer said. "We were duped."
"It doesn't make sense. And that's why we were there with him because all the times we were with him it was nothing but love," he said, adding that Watts was a "hands-on dad."
"He and Shanann were always hugging, kissing and smiling. They were just a picture of in love," added Amanda Thayer. "I want to know why."
"She was an amazing person," Amanda Thayer said of Shanann Watts. "She uplifted everyone around her. She listened to your thoughts, your concerns, your life. And never judged you. She gave you great advice."
A body believed to be Shanann Watts has been recovered, officials said Thursday.
Authorities have a "strong reason to believe" they know where the girls' bodies are and recovery efforts are underway, officials added.
Prosecutors said they believe the victims were killed in the family’s home, KMGH-TV reported.
Chris Watts, 33, has been booked on three counts each of first-degree murder and tampering with physical evidence. He was held without bond and is set to return to court on Tuesday, reported KMGH-TV.
"The suspect is presumed innocent until otherwise proven guilty in the court of law," Weld County District Attorney Michael Rourke said at a news conference Thursday.
Authorities have declined to comment on a potential motive.
"Our role now is to do everything we can to determine exactly what occurred and assist in filing the thorough case," added Colorado Bureau of Investigation director John Camper.