South Lake Minnetonka police went to check on the family at 12:21 p.m. after no one was seen or heard from in days, Interim Chief Mike Siitari told The Associated Press. Siitari wouldn't release any information on how the family members died but said there appeared to be "no threat or danger to the community."
The children had not been in school for the past two days, Siitaari said. Identities of the victims were not released.
Siitari said the Hennepin County Sheriff's Office was processing a "complex crime scene."
"Obviously it's an extremely tragic event and it's going to take some time to sort through," he said.
Aerial footage of the scene showed an upscale home in Greenwood, a village of a few hundred people on the shore of Lake Minnetonka, about 20 miles west of Minneapolis.
Greenwood Mayor Debra Kind said she did not know the family but called it "very upsetting news."
"I hope that people who have suicidal thoughts get help, because this is a tragedy that is not necessary," she said.