Chris Watts' daughter's heartbreaking last words before he killed her: 'Daddy, no!' Chris Watts was sentenced in November to life without parole.

Warning: the following article contains graphic material.

The Colorado man convicted of killing his pregnant wife and two young daughters confessed chilling new details to investigators about how he carried about the crimes, according to a report released by authorities Thursday.

The alleged details surfaced when investigators met with convicted killer Chris Watts on Feb. 18 at the Dodge Correctional Institution in Waupun, Wisconsin.

Watts, who started having an affair with another woman the summer of the killings, told investigators the crimes began when his wife, Shanann Watts, said she knew he had someone else. Watts told his wife he didn't love her, and according to Watts, Shanann threatened to keep daughters from him.

"You’re never gonna see the kids again," she told him, according to the report.

Watts told investigators he then put both of his hands around Shanann Watts' neck and strangled her at their home in August, according to the report.

"Every time I think about it, I’m just like, did I know I was going to do that before I got on top of her?” he told investigators, according to the report. "It just felt like there was already something in my mind that was implanted that I was gonna do it and when I woke up that morning it was gonna happen and I had no control over it.”

He said his wife never fought back or screamed, according to the report.

Watts told investigators his 4-year-old daughter, Bella, walked into his bedroom holding her blanket and asked what was wrong with her mom; he told her that Shanann didn't feel well, the report said.

Watts wrapped his wife face-down in a bed sheet and tried to carry her downstairs, but lost his grip and ended up pulling her down the stairs, the report said.

Bella watched her father drag her mother down the stairs and began to cry, and asked, “What’s wrong with mommy?” Watts told investigators.

Watts then backed his truck into the driveway and put his wife's body into the backseat on the floorboard, and when he came back inside, his 3-year-old daughter, Celeste, was awake, he told investigators.

Watts told investigators he put both daughters in the back of his truck on the bench seat, and he said Bella asked, “Is mommy okay?”

Bella and Celeste each had a blanket with them and Celeste had a stuffed animal, Watts told police, the report said.

Watts then started to drive to the oil site where he had worked, and during the ride, his daughters dozed off and on and laid in each other’s laps, he told investigators.

At the oil site, Watts told police he took Shanann Watts' body out of the truck and laid her on the ground near where he ultimately buried her, the report said.

Bella and Celeste, who were in the truck, asked him, “What are you doing to mommy?” the report said. But he doesn’t remember what he told them, according to the report.

Watts told police he put Celeste's blue Yankees blanket over her head and strangled her in the backseat, the report said.

Bella was sitting next to Celeste at the time but Bella did not say anything, Watts told police, according to the report.

Watts told police he took the 3-year-old's body to the oil tank and dropped her inside.

When Watts returned to the truck, Bella asked him in her soft voice, “Is the same thing gonna happen to me as Cece?" he told police.

Watts told investigators he then strangled the 4-year-old with the same blanket, the report said. Bella fought back the best she could, according to investigators.

Bella's last words were “Daddy, no!” Watts told police, according to the report. Watts told investigators he hears those two words every time he closes his eyes.

Watts told police he dropped Bella's body into a separate oil tank before burying his wife's body, the report said.

Watts told investigators he took off Shanann’s wedding ring and left it on the counter, so it would look like she didn’t want to fix their marriage and wanted a divorce, the report said.

In August, right after Shanann Watts and the children went missing, Chris Watts lied to reporters, saying his family disappeared.

"When I came home and then walked in the house, nothing. Vanished. Nothing was here," he told ABC Denver affiliate KMGH. "My kids are my life."

Within days, Chris Watts was arrested and the bodies of his wife and children were found.

When Watts was interrogated, he said he couldn’t admit to himself what he had done, so he couldn’t admit it to the police, the report said.

Watts said he didn't think about telling police the lie that Shanann killed the children -- until it was mentioned to him during his interrogation, the report said. After that became a part of the conversation, he said he "just went with it" and expanded on the lie, the report said.

Chris Watts pleaded guilty to all charges against him, and in exchange, prosecutors did not pursue the death penalty. Chris Watts was sentenced in November to life without parole for the three murders.