Sunil Beldar, the accused, died of burn injuries at a hospital on Friday morning.
Sunil, resident of Nisarga Dutta Nagar in Nashik, was apparently depressed because of financial and family issues, police said. On Thursday afternoon he strangled his daughter Vaishnavi (10) and son Devraj (8) to death, and also tried to kill the elder daughter who is 12 years old by giving her insecticide to drink, police said.
Ashok Bhagat, in-charge of Upnagar police station, said when Sunil's wife realised what had happened, she locked him in his room and raised alarm.
Sunil then set himself on fire.
While he died in hospital last morning, the elder daughter was undergoing treatment.
According to the police, Sunil and his wife were living separately and only Thursday he had persuaded her to come back from her parents' house. He had lost his job and started giving private tutions.
Further probe is on.