Transcript for Chris Watts admits in police interview to smothering daughters to death: Part 2
their investigation into the disappearance of shanann Watts and her two little daughters. Her husband Chris agrees to take a polygraph exam. Did you physically cause shanann's disappearance? No. Are you lying about the last time you saw shanann? No. Do you know where shanann is now? No. Reporter: Chris fails the test. It was completely clear that you were not honest during the I think you know that. You did not pass the polygraph test. I didn't lie to you on that polygraph, I promise. Reporter: He doesn't admit to a crime. Instead, Chris Watts confesses to an affair. I cheated on her. I feel horrible about it. Reporter: He refuses to name his mistress. Who is her? I don't want to get her involved in this. She's a wonderful person. I saw her, took my breath away. And I never thought in a million years that could happen. We'll leave her out of it. Okay. Get back to your wife and your daughters, where are they? They were at the house when I they were there. They weren't there. They didn't leave. They vanished. The only way they could have left is in your truck. Reporter: Eventually, Watts asks to speak with his father, Ronnie Watts, who has just flown in from north Carolina. It's a stunning statement. Chris Watts claims shanann had attacked the kids and he killed her in a fit of rage. Cbi agents re-enter the room. They're not buying Chris' story. I think we're very, very close to the truth but we're not there yet. I'm not a monster. I didn't kill my babies. Reporter: Honing in on where the bodies are. Whereabouts is shanann and the girls? Can you mark it for me? The S for shanann? Reporter: Watts marks the spots with their initials. The two girls in separate oil tanks. Their pregnant mother, shanann, in a shallow grave nearby. The missing bed sheet also found on the scene. Sickening, isn't it? Reporter: How do you row act to that? Devastated. He is a monster. How do you put someone you love into an oil tank? Especially your children. Reporter: The investigators recover the bodies. The little girls' autopsies contradict their dad's version of events. They weren't strangled, they were smothered. His statement that he had seen shanann strangle the girls. I knew in my heart of hearts that the friend I cared so much for would never hurt her babies. I knew from day one that that was not true. Reporter: Chris' mistress, Nicole Kessinger breaks down, thinking about what he did to his two daughters. He is so disgusting. I'm so ashamed of him and everything. And I just, oh, those little they're so little. They're so little. Why? Why? Why? Why? Why? How? I don't understd how you could bring yourself to do that, to somebody who's like that big. Reporter: Chris is arrested and agrees to plead guilty in exchange for no death penalty. At his sentencing hearing he must listen to shanann's mother, Sandra. We loved you like a trusted you. I didn't want death for you, because that's not my right. Your life is between you and god now. And I pray that he has mercy for you. Reporter: Through his attorney, Watts issues a short apology. Mr. Watts has asked us to share this morning that he is devastated by all of this, and although he understands that words are hollow at this point, he is sincerely sorry for all of this. Reporter: Chris Watts is sentenced to life in prison without the possibility of parole. A few months later N a miss interview, Watts admits for the first time that he killed his two young daughters. He describes driving them alive next to their dead mother's body out to that oil field. Some of the details are hard to hear. I got shanann out, pull her over to the side there. And then the girls, right? CICI first. Where exactly was she? In the back seat. There was a blanket. And once she's gone, did you pull CICI out? ? I pulled CICI out. She went into the tank and Bella's still in the truck alive. Put that blanket over her, too and did the same thing. She said no, daddy. And that's the last thing she said. Reporter: How do you want your daughter to be remembered? How do you want the world to remember her and your granddaughters? She was an amazing daughter. Bella wanted lipstick today. She wanted to soar the Earth. She said mama, I want to leave my mark on the Earth, and she did. Reporter: Sandra's unshakeable faith gives her the strength to keep alive the happy memories of shanann and her beloved granddaughters. Oh, my goodness. Reporter: For "Nightline," I'm Amy robach in Frederick, Colorado.
This transcript has been automatically generated and may not be 100% accurate.