In a jailhouse interview with the Colorado Bureau of Investigation, Chris Watts talked about how he is haunted by the last words his 4-year-old daughter said to him before he killed her and how he tried to cover up the crimes by making it seem as if his wife took their children and left him.

In a 31-page document released Thursday, Watts also detailed his affair and revealed why he pleaded guilty to the murders of Shanann Watts, and daughters Bella, 4, and Celeste, 3, last August.

Watts, 33, is currently serving three consecutive life sentences in prison.

His most shocking revelations are below:

Daughter's last words

Watts told investigators that after he killed Shanann, he put her body in the bed of his truck and then made his daughters get into the back seat before driving to a petroleum company site where he worked. Watts said both girls dozed off during the ride and at one point Bella complained that the car smelled.

Christopher Watts during a prison interview with the Colorado Bureau of Investigation. Colorado Bureau of Investigation

He said he first killed Celeste and then dumped the little girl's body in an oil tank. When he got back to his truck, Bella asked him what happened to her sister and then said in a soft voice: "Is the same thing gonna happen to me as CeCe," Watts told investigators.

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He said the last words Bella spoke as he killed her were: "Daddy, No!" He then put her body in a separate oil tank before digging a hole in the field and burying Shanann. Watts told investigators that every time he closes his eyes, he hears his daughter's plea.

Creating an alibi

After murdering his family and disposing of their bodies, Watts told investigators that he went back to his home and tried to make it look as if Shanann had taken their children and left him. According to Watts, he took Shanann's wedding ring and left it on a counter so it would appear as if she wanted to divorce him. He also said he tossed a book on therapy in the garbage to make it seem like Shanann thought their marriage couldn't be saved, the documents state.

Why Watts pleaded guilty

After doing interviews with the media begging for his wife and daughters safe return, Watts told investigators that he confessed and pled guilty so things would not drag out in court for years.

"I didn't want my attorneys to lie for me for two to four years ... They would've done anything I told them to do," he said. A few weeks after his arrest, Watts said he confessed to his attorneys that he killed his family. Watts told investigators he doesn't regret taking a plea deal, but had not thought he would be in prison for the rest of his life.

In a new interview, Chris Watts detailed the day he killed his pregnant wife, Shanann Watts, and their daughters Courtesy of family

His mistress knew he was married

According to Watts, Nichol Kessinger knew he was married with children — something Kessinger denied. Watts told investigators that in June 2018, shortly after they met, he showed Kessinger a cellphone picture of Bella and Celeste, and Kessinger also saw a photo of Shanann on the lock screen of his phone. Watts said Kessinger denied knowing he was married to try and "save face."

Watts also told investigators that although Kessinger would get "pissed" when he would leave her to go back home, she never asked him to do anything to harm his family.

Family photos in his prison cell and finding God

Watts told investigators that he has photos of Shanann and his daughters on the wall of his prison cell and talks to them every morning and night. Watts said he reads Celeste's favorite book to them, along with Bible scriptures.

"Right now I'd have a 5-year-old ... a 3-year-old ... and more than likely, a 1-month-old son ... and a beautiful wife ... and right now it's just me," Watts told investigators, saying he wished the murders never happened.

Since being arrested, Watts said he has found God and has asked for forgiveness. "I never knew I could have a relationship with God like I do now," he said. "It's like the amazing grace with all of this, but I just wish nobody had to pay any kind of price for this ... I know there is a purpose for everybody, I just hope I can find mine."