The husband of a missing, pregnant Colorado woman was arrested Wednesday evening in connection with her disappearance and that of their two young daughters, police in Frederick, Colorado, said. Chris Watts has been charged with three counts each of first-degree murder and tampering with evidence, reports CBS Denver.

The station says Chris Watts confessed to killing Shanann Watts, 34, who was 15 weeks pregnant, and daughters Bella, 4, and Celeste, 3. The station says investigators were seen removing items from the family's home. A truck was also taken.

CBS News hasn't independently confirmed that Chris Watts admitted to police that he killed Shanann, Bella and Celeste. Authorities didn't say anything about the whereabouts of the three.

Chris Watts mugshot CBS Denver

The station says Shanann Watts' family was also told Chris Watts agreed to bring officers to the bodies.

A relative of Shanann Watts provided this statement tonight. The husband is being held by police. https://t.co/My4xSGrxth pic.twitter.com/8DNpr4xLEN — Tim Wieland (@CBS4Tim) August 16, 2018

Chris Watts told "Today" Wednesday morning he was living a "nightmare." He said the last time he saw his family was early Monday morning before leaving for work.

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"I just want them back," he said. "I just want them to come back."

Frederick Police told a news conference earlier Wednesday that officers went to check up on Shanann and the girls in their home around 1 p.m. Monday after a concerned friend said she hadn't heard from Shanann.

One of her friends posted on Facebook that Shanann left her phone, purse, car seats and children's medicine at home Monday morning, CBS Denver reported.

The home of Chris and Shanann Watts and their two young daughters in Frederick, Colorado on August 15, 2018 CBS Denver

By Tuesday afternoon, the Colorado Bureau of Investigation issued an endangered missing alert for all three.

The FBI was assisting the CBI and local authorities with the investigation.