Frederick police said Shanann was dropped off at her home around 2 a.m. on Monday after returning from a work trip in Arizona.
During an interview with KMGH-TV, Christopher said he last saw his wife around 5:15 a.m. Monday when he left home. He then said Shanann's friend stopped by around noon asking where she and the girls were.
Police said the woman went to Shanann's after she missed a doctor's appointment and then reported the woman and her two daughters, 4-year-old Bella and 3-year-old Celeste, missing.
Officers went to the home for a welfare check around 1:40 p.m. Monday and confirmed that the three were missing.
The bodies of the missing trio were found on the property of Anadarko Petroleum, one of Colorado's largest oil and gas drillers - a previous employer of Christopher.
Officials said the bodies of the young girls were found inside oil and gas tanks that "were mostly full." Investigators believe Christopher placed the girls in there to conceal the smell from passersby.
Christopher was arrested and charged with three counts of first-degree murder and three counts of tampering with evidence.
The family has strong ties to North Carolina. Shanann was from Moore County and attended Pinecrest High School in Southern Pines. Her family still lives in North Carolina.
Christopher went to Pine Forest High School in Fayetteville and graduated in 2003.
On Friday afternoon, the Frederick Police Department was informed by the Weld County Coroner's Office that the autopsies of all three bodies associated with the investigation have been completed.
The coroner's office positively identified those three bodies as; Shanann Watts and her two daughters, Bella Marie and Celeste Watts.
The cause of death has not been released.
Neighbors were saddened by the news, especially because they said Shannan was excited to welcome her new bundle of joy to the world - a baby boy.
"I don't know why he would want to kill her, the wife and the two kids," said Joe Beach, a neighbor of the family in Aberdeen. "Like I said, the two kids were nice kids. I don't know. To me, it's a senseless murder, and she was looking forward to that third child because she was pregnant with a boy ... Knowing her, and knowing the type of person she is, or I should say she was ... I'm surprised that this happened. And I really hate it."
And neighbors weren't the only ones who were shocked by the news.
"I'm still in complete shock about it," said Joe Duty, Christopher's former teacher. "Chris was one of the best students that I ever taught ... He was always punctual, did everything right."
But looking back, Duty said he always questioned his student's nature and if he was hiding something.
"I always wondered why he was so quiet," Duty said. "But now looking at what has happened. I'm wondering if there was anything way back in his head back then that he may have kept from everybody."
Shanann's Facebook account painted a portrait of a happy family, with a constant feed of photos and videos of her family, friends and herself. Her comments were typically upbeat, saying how happy she was, whether she was running errands, playing with her kids or promoting a health program.
She posted selfies of her and her husband smiling in restaurants, in front of the ocean on vacation and at their house. On one from May 5, she wrote: "I love this man! He's my ROCK!"
She posted a photo on June 19 of some texts with her husband after sending him a sonogram. He replied that he loved the baby already.
She posted: "I love Chris! He's the best dad us girls could ask for."