Three young children were found dead in a home with a woman also deceased nearby.
Police were called to the house in Danbury, Connecticut by a man who was "distraught and crying" at around 6.30pm on Wednesday.
Officers arrived to find three children, aged between five and 12, dead inside the property and a deceased woman in a shed in the backyard.
Police Chief Patrick Ridenhour said no arrests have been made and it appears to have been an isolated incident.
He told NBC Connecticut : "We're not going to leave any stone unturned. I don't want to get ahead of ourselves.
"We have a pretty good idea of what happened but we just don't want to confirm that at this point."
The identities of the three children, who are thought to be related, and the woman have not yet been released.
Mr Ridenhour added: "It's an extremely difficult time for many of our officers, especially those who had to go inside."
Police said they are not searching for anyone and there is no immediate danger to the public.
One neighbour, Tom Neville, said he was watering his flowers at around 5pm and noticed nothing unusual at the time.
Detectives will be attending the scene to speak to potential witnesses in the neighbourhood.
The General Investigations Division and Special Victims Units is conducting enquiries.
