He then took the six-month-old baby and drove 130 kilometres from the town of Tisdale to Prince Albert, where he killed himself.
The infant was found unharmed and is being cared for by family.
RCMP spokeswoman Mandy Maier told reporters Wednesday that officers received a call from a family member around supper-time Tuesday, saying the woman and children hadn't been heard from all day and couldn't be reached.
"This was not typical behaviour," Maier said.
About six hours later, after officers obtained a search warrant, they found the woman and children dead in their trailer in Wicks' Mobile Home Park on the edge of town. Police did not release the names of the children, but said they were all under the age of nine.
Police believe they were killed before they were reported missing.
Maier said an investigation quickly led officers to the suspect in Prince Albert. Maier said the baby and two other adults were found alive in a home.
The suspect was known to the victims, she said, adding she couldn't give the relationship or a possible motive.
"There is no risk to public safety and investigators do not anticipate laying any criminal charges relating to these four deaths," she said.
The murdered woman was identified by residents as Latasha Gosling, who used to work at a daycare in nearby Nipawin.
Her children include two girls, Janyaa, 4, and Jenika, 8, and a boy, Landen, 7.
A photo of Gosling, huddled in between two smiling young girls and a boy, was posted on the fundraising website gofundme.com. Tim Funk wrote that he had permission from the woman's parents to collect money for funerals.
"If any is left over, it will be put into a trust fund for the young survivor," Funk wrote on his Facebook page.
"It's a shocker," said the manager of the mobile home park.
He wouldn't give his name, but said the dead woman and children had lived in one of his rental trailers for the past eight months, along with a man and a young baby. He described them as a quiet and friendly family who paid their rent on time and never caused trouble.
RCMP phoned him late Tuesday. "I was called to come down at midnight and asked if I had a spare key for the place."
Laura Gross told Saskatoon radio station CKOM that the man who killed her sister and the children had been in a relationship with Gosling for a number of years.
“We got really different vibes from him. We never got to see the kids or anything,” she said.
Gosling's aunt, who didn't want to be named, said the killer was the father of the baby.
Robert Wallace, who lived next door to Gosling, said he was a family friend and knew her as a child.
He said her father phoned him to tell him of the killings.
"Her mom was crying. She was freaking out," Wallace said.
He saw the three children outside playing on the weekend. On Monday night, he heard yelling coming from the trailer.
"I heard her pounding on the door, 'let me in, let me in.'" He added that he had never heard them fight before.
Tisdale Mayor Al Jellicoe said the town of 3,200 is in shock.
"We are a very close-knit community and, when a tragic event happens here, it affects us all."
Tisdale is 210 kilometres northeast of Saskatoon. It may be best known as the hometown of comedian Brent Butt, who basedhis popular "Corner Gas" TV show after his experiences working in a gas station in the community.
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