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The family of Colorado woman Shanann Watts, whose husband killed her and their two daughters, said a recent jailhouse interview that the killer gave uncovered details about the murders that were more gruesome than they could have imagined.

"Our daughter watched her husband kill her," said Shanann's mother Sandy Rzucek during an interview that aired on "Dr. Phil."

"It’s worse than we even thought. We thought the worst was what we heard already," said Shanann's brother, Frankie.

Christopher Watts, 33, pleaded guilty in November to murdering Shanann, who was pregnant, and his daughters, Bella, 4, and Celeste, 3, last August and is serving three consecutive life sentences.

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In a five-hour-long Feb. 18 prison interview with the FBI, the Colorado Bureau of Investigation, and the Frederick Police Department, Watts disclosed brutal details about the day he killed his family.

He told investigators that Bella had walked into his bedroom after he killed his wife and asked him what was wrong with mommy, according to a 31-page log of the interview. He told them his daughters were in the backseat of his truck for 45 minutes with their mother's body as he drove them to Anadarko Petroleum, where their bodies were eventually found.

He also said he first killed Celeste, dumped the little girl's body in an oil tank, and when he went back to his truck, Bella asked him what happened to her sister and then asked: "Is the same thing going to happen to me as CeCe?"

Bella "knew what was happening," Frankie said. "We were hoping it had happened in her sleep or something."

"I think the hardest part is knowing our granddaughter watched her sister die, and then begged for her life," Rzucek said.

"I don’t know how much worse than you can hear. Jamming their bodies in an eight inch hole … what could be worse?" she asked. "It’s pretty sick."

Shanann Watts, 34, and her daughters have been reported missing. Frederick Police Department

The girls' bodies were found submerged in oil, and Shanann's body was found buried in a shallow grave on the property of Anadarko, where Watts worked.

The family said they are haunted thinking about Shanann, Celeste and Bella's last moments. "I say to Frankie every day, 'I bet you she was screaming for her Nonna and her Uncle Frankie and her Pop Pop,'" Rzucek said.

Frankie said "knowing what they went through" keeps him up at night, and when he does fall asleep, he dreams of his sister and his nieces.