Transcript for Unraveling clues behind one man's murder of his pregnant wife and 2 daughters: Part 1
Reporter: Body camera videos. Are you Chris? Reporter: Evidence of a hidden affair. Interrogation tapes. Unraveling the intricate web of lives that made up Chris Watts' secret life, offering clues as to why he murdered his pregnant wife shanann and his two daughters. Shanann's devastated parents speaking out for the first time since their daughter's murder. I told the police to find his gps, because his gps is going to tell them where my family is. Reporter: From the outside, the Watts family seems perfect. In social media videos, Chris plays the part of a who having husband and doting father to his two daughters. My daddy is a hero. Hey, guys! We're here from the boat today. Reporter: Shanann is a social media maven and master of the digital stage. I am so excited. I'm driving with you. She was fun, full of life. She did so many things. She had her hand in everything. Love you guys, have a great day. Reporter: Just about every moment of shanann's leave streams live other Facebook. Chris and I are sitting here waiting to board our flight to we're going to Toronto in June. Reporter: If you were on the outside looking in she seemed to have the perfect life. She did. Reporter: Did you believe she was happy? We did. Reporter: Chris works for an oil company. Shanann loved sharing their love story which started not spreesingly on Facebook. I got a friend request from Chris on Facebook. One thing led to another, and he's the best thing that has ever happened to me. Say hi, CICI. Hi, daddy. Reporter: How was Chris as a father as far as you could see? He was a very loving father. As far as I know, he loved his Reporter: And then last June, another baby is on the way. I know. Boy, boy. Chris wants a boy. I hope it's a boy for him. It will make him happy. Reporter: As luck would have it, it's a boy. She had a name for him already? Yeah. Reporter: She works for a multi-level vitamin company. Her best friend and co-worker, Nicole Atkinson remembers dropping her off at home after a work trip the morning of August 13th. And I believe it was around 1:45 in the morning you dropped her off? Roughly, yeah. Reporter: What was the last thing you said to her? ? I just told her, if you need help in the morning, let mow know. I gave her a hug and watched her go in the house. Reporter: That morning, shanann Watts goes offline. She didn't text me, because she texts me every morning. Reporter: Nicole decides to try her in person. She knows the code to the front door. What happened when you got to the house? I couldn't get in. It was locked from the inside. And then I called Chris and asked if he knew where shanann was, and he said she went on a playdate. And I said Chris, her car's in the garage. How could she go on a playdate? Reporter: She becomes concerned and calls the police. My name's Nicole, and I'm calling because I'm concerned about a friend of mine. She's not answering the door. She's not responding to text messages and phone calls. Reporter: As Nicole impatiently waits for the cops, shanann's husband, Chris Watts, who's at work calls her friend cassie Rosenberg to see what's going on. He called me, and I was screaming at him. I was frantic. You need to get to the house. Nikki's calling the police so we can break down the door. And he said no, don't call the police. I don't want to get them involved. I said you're an idiot and you need to get to the house because something's wrong. Reporter: Frederick police officer, Scott kuhnrod races to the house. Are you Nicole? Reporter: This is real-time footage captured on his body camera. I'm going to check the back to see if I can see anything. Reporter: After a quick check of the perimeter, Chris Watts finally shows up. Scott, how you doin'? This is the only vehicle she would have? She would drive? Reporter: The officer then asks to search the home. Mind if I look around? Reporter: The basement, bedroom, bathroom. The only signs of life? The barking dog. Chris tells police he saw his wife early that morning before he left for work. Last I talked to her was this morning. She said she was going to take the kids to a friend's house. And then I texted her today, I never heard anything. Reporter: The house appears neat and orderly, nothing out of place or rummaged through. We all ran through the house kind of looking for her. We checked upstairs. She's not there. And it was odd the things that you did see. It didn't make sense to me. Reporter: Shanann's purse and wallet on the counter. Wedding ring on the nightstand and unmade beds. Does she normally make the bed, the kids' beds? Reporter: And their beds would have definitely been made? Yes. Reporter: And her sheets wouldn't have been stripped off the bed? No. There was a sheet missing from the bed in the master bedroom. Oh, that wasn't on there? The matching sheet, the non-fitted or flat sheet was found in the garbage can. Reporter: Eventually, they find her cell phone. Does she work? Yeah, she works from home. Reporter: And in the kitchen. Your kids take any medication? CICI takes singulair. Reporter: The biggest clue of all, medicines, including little CICI's epi pen. My daughter would never leave the house without her phone or the epi-pens. Definitely an odd one. Reporter: Police get a break in the form of the Watts' next door neighbor. He has a security camera. The only thing I caught was Chris backing his truck into the garage. Reporter: Chris comes over to your home along with the police to watch that surveillance footage. Yes, he was standing right in my living room, basically watching it. And he looked very frantic. He had his hands like this in the air, on his shoulders. And he was really swaying back and forth. Reporter: Was he saying anything? No, he wasn't saying anything. He basically, the only time I saw him show any emotion was a little bit of nervousness when he was watching that tape. My detective just showed up. You want to talk to him? I'm going to get his input real quick. No. Reporter: Seemingly desperate to find his family, Watts turns to the media for help. Shanann, Bella, Celeste, if you're out there, just come back. Like, if somebody has her, just please bring her back. I need to see everybody. Reporter: Did he sound worried? No, he didn't give a flying flip. I said Chris, you know, I don't think you should do any media. I said, you're the last one to have seen them. So I don't think you should. Reporter: And yet he did. I thank god he did it. I thank god in heaven that he didn't listen to me. Reporter: In that interview, Chris admits he and shanann had exchanged words before she disappeared. It wasn't like an argument. We had an emotional conversation. I'll leave it at that. Reporter: In the weeks before shanann went missing she expressed great concern that her marriage was falling aapart. If you are done, don't love me, don't want to work this out, not happy anymore and only staying because of kids, I need you to tell me. ? I'm not just staying because of the kids, they are my life, and that will not change. I'm not sure what's in my head. She just told me that Chris said he wasn't happy anymore and that she didn't know what was wrong. Reporter: Shanann texting another friend. Chris told me last night he's scared to death about this third baby and he's happy with just Bella and Celeste and doesn't want another baby. He has changed. I don't know who he is. Did she ever suspect another woman? I think she entertained the idea because she did get, I don't know if she checked the bank account but got an alert on the phone. Reporter: A dinner raises her suspicions. Turns out, she was right. Chris was having an affair with a young, pretty brunette named Nicole kessen jer. She says he told her they were separated and getting a divorce. I thought what we had, it was very comfortable for me. I enjoyed it. I think he did very much as well. Reporter: These are photos released by authorities of their time together. He didn't have a wedding ring on his finger. He didn't even mention his kids right away either, and one day he told me he had two kids. I thought it was kind of cute, I was like, oh, he's a dad. Reporter: All these photos, including nude pictures of Nicole would end up in a secret app camouflaged as a calculator in Chris's phone. My daughter had no clue. She was clueless. Reporter: When we come back, Nicole Kessinger's stunning revelation that not only is his wife missing but 15 weeks pregnant. If can you lie to me about this, what else can you lie to
This transcript has been automatically generated and may not be 100% accurate.