A HEARTBROKEN dad struggled to contain his tears in court as he faced his daughter's husband who is on trial for her murder.

Frank Rzucek Sr. held his face in his hands as he bitterly wept in a Colorado courtroom on Tuesday, with Chris Watts sitting just feet away from him.

Watts, from Oklahoma, is accused of throttling his daughters Bella, four, and three-year-old Celeste before hiding their bodies along with their mum Shanann in oil tanks.

The two girls and their mum disappeared from their family home in Frederick, Colorado, last Monday and Chris went on local television pleading for them to come home.

Frank became emotional in court as it was revealed Watts initially told police it was his wife who murdered the children.

Watts claimed he erupted in rage after Shannan strangled their kids, after he said he wanted a separation.

Frank Rzucek Jr., Shanann's brother, rubbed his grieving father's back while glaring at Watts who did not enter a plea to any of his charges.

Watts faces three first-degree murder charges, two counts of killing a child under 12, one count of unlawful termination of a pregnancy and three counts of tampering with a deceased human body.

Judge Marcelo Kopcow told him he would face the death penalty if found guilty.

Investigators believe the three were killed in the family home, before the two children were dumped in oil tanks at the Anadarko oil and gas exploration site where Chris worked in Frederick.

Another body, believed to be 15-week pregnant Shannan, was also found nearby.

Police visited the Watts home on August 13 following requests from a family friend who asked officers to check on Shannan.

Cops searched the house and found her cellphone at the bottom of a chair, her purse in the kitchen and suitcase at the bottom of the stairs.

Watts revealed to police that he had planned on leaving his wife.

He claimed their conversation was civil, but they later became "upset and crying", so she planned to stay at her friend's house, court papers said.

Watts will next appear in court on November 19.