The bodies of two small children and their father have been found in a submerged car at Port Lincoln after a search by South Australian police divers.

The white station wagon was spotted driving off the end of Brennan's Wharf about 6:00am Monday, and sank in up to 30 metres of water.

Police said the car was travelling up to 80 kilometres per hour, and witnesses told police it seemed the vehicle had been deliberately driven off the wharf.

Divers from SA Police's Water Operations Section flew to Port Lincoln from Adelaide for an underwater search, and police said the bodies of the man and children were found just before 12:30pm.

Their bodies were removed from the car before it was pulled to the surface.

Superintendent Paul Yeomans said they had now been identified, and described the situation as a "heartbreaking incident".

"It's a tragic case where you've got, we believe, the father and two young children in the vehicle," he said.

"No doubt, this will affect a lot of people living in Port Lincoln.

"We're not treating it as an accidental driving-off-the-wharf.

"Even though at this stage I'm not prepared to release the details of the deceased, they have been identified."

Police said the local family involved had been informed.

"There was a rifle that was retrieved as part of the retrieval process," Superintendent Yeomans said.

"Whether that's involved in the incident I don't know. That'll be subject to the investigation."

Superintendent Yeomans would not say if there were signs of injury on the bodies.

One of the 'saddest days in our history'

City of Port Lincoln Mayor Bruce Green said the community was in shock.

"People are really just digesting the enormity of the tragedy and thinking about ways of supporting the family and friends of the people involved," he said.

"[I'm] not quite sure how the community is going to react but this is one of the saddest days in our history."

Mr Green said the tragedy was even sadder, given there were children involved.

"You're just dumbfounded as to why these things can happen and you just feel - you don't have any power in solving what's just happened or changing what's just happened. So you just feel a little empty," he said.

"We don't have much knowledge about the background to this, we just know it's a huge loss to our community and a very sad day for us."

Local police are being assisted by detectives from the Major Crime Investigation Branch, forensic experts and the Major Crash team.