Neither Canadian officials nor London police would release the woman's name, but British media reports have identified her as 34-year-old Felicia Boots.
Reports say her husband, Jeffrey Boots, a former investment banker with the Bank of Montreal, discovered the bodies of the children on Wednesday night.
London police say the victims were a 10-week old boy and a 14-month-old girl, but would not speculate on the victims' identities or cause of death.
A police news release says a woman is being held on suspicion of murder and a spokesman says investigators are not seeking any other suspects.
Autopsies are scheduled for Friday morning, and police say they will release more details at that time.