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The Colorado man serving multiple life sentences for killing his family revealed recently in a prison interview that after he murdered his pregnant wife and his youngest daughter, his oldest daughter pleaded with him not to do the same to her.

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

Attorneys for Shanann's parents, Sandy and Frank Rzucek, said on "Dr. Phil" that in a 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.

Written notes and audio files from the interview are expected to be released as a part of the Colorado Open Records Act.

One of the Rzuceks' lawyers, Steven Lambert, said to Dr. Phillip C. McGraw that Watts told investigators that his daughters did not see him kill their mother, but Bella had walked into the bedroom after he strangled her and was wrapping her in a sheet and asked, "What are you doing with mommy?"

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He then loaded the girls and his wife's body in his truck and drove them 45 minutes to the property of Anadarko Petroleum, where Watts worked, Lambert said the parents learned from Watts' interview.

Watts threw Shanann into a shallow ditch on the work site, and then with "Celeste’s favorite blanket ... he smothers her to death," Lambert said.

"At that point, Bella said, 'Please, Daddy, don‘t do to me what you just did to Cece,'" Lambert said.

"And then he killed Bella," Lambert said.

Shanann Watts, and the two daughters in Colorado.

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

"There was a struggle from Bella. ... There were signs that she fought for her life," Lambert said.

"I think of the things that have been hard for the Rzuceks to comprehend and to accept in this reality, what happened to Bella in those last moments have been the hardest," Lambert added. "Obviously the question becomes how much were Bella and Cece aware of what might have been happening in those 45 minutes on that drive to where their bodies were placed."

Watts first told police that his wife and daughters had vanished and he didn't know where they were.

Then, he confessed that he had killed his wife, who was 15 weeks pregnant, because he had caught her in the act of killing the girls.

However, in the prison interview, he says he and Shanann had a fight before the murders, during which he said he wanted a divorce, at which point Shanann threatened to take away the girls.