Ajay, 38, was found hanging from the ceiling fan in his room. The bodies of his wife Manju, 35 and son Magan were found in the bed.
In another room, his 12-year-old daughter was found lying in bed. She was rushed to a hospital and is undergoing treatment.
It appeared to be a case of killing-cum-suicide, police said.
Mr Ajay's elder brother's family lives in the neighbourhood. The brother's children had gone to Mr Ajay's home to ask Magan to play with them.
When they reached there, they found Mr Ajay hanging from a fan while the other members were found unconscious. Their neighbours rushed them to separate hospitals.
The children were rushed to one hospital and their parents to another. The couple and their son were declared dead while the daughter was saved, police said.
A suicide note addressed to Mr Ajay's mother and sister was found from the spot. It said that Mr Ajay was depressed.
Mr Ajay worked as a property dealer. Around one and a half years ago, his elder brother committed suicide after which Mr Ajay had been looking after his brother's family, police said.
He spiralled into depression after his brother's death and was facing financial issues in his business.
It is suspected that he was reeling under the pressure of running two families and took the extreme step.
His wife, son and daughter had strangulation marks on their necks. Police are probing whether Ms Manju was killed. It is also being probed whether the children were given some poisonous substance.
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