(CNN) — Chris Watts' 4-year-old daughter knew her mother and younger sister, Celeste, had just been killed -- and she feared she would be next.
"Please Daddy, don't do to me what you just did to Cece," said Bella, according to a lawyer for the family of Shannan Watts, the girls' mother.
Earlier, Bella had walked into the room just after Watts had strangled his wife, Shannan, and was wrapping her in a sheet to dispose of her body. "What are you doing with Mommy?" Bella asked her father.
Bella's last words and other details about the disturbing familial murders were revealed by attorney Steven Lambert on Tuesday's "Dr. Phil" show.
Lambert's summary of the events provides a chilling picture of how Chris Watts killed his pregnant wife, Shanann, 34, and their two children, Bella and Celeste, 3, and then disposed of their bodies at a secluded oil field where he worked. Weld County, Colorado, prosecutors said he strangled his wife with his bare hands, suffocated the children, and loaded them in his vehicle and drove away to hide their remains.
Watts initially denied involvement in the August disappearance of his wife and daughters, and even spoke with a local news station about his worry for their well-being. However, he later pleaded guilty to the killings and was sentenced in November to five life sentences after prosecutors and Shanann's family agreed to drop the possibility of the death penalty.
Colorado Bureau of Investigations spokeswoman Susan Medina said Watts provided investigators with "additional information" about the murders of his family on February 18. The CBI said a written report and audio file from that interview will be released on Thursday.
Why he did it
After his sentencing last November, prosecutors had said they may never know what led Watts to kill his wife and daughters.
"I don't think he will ever tell us. I don't think he will give an honest assessment of why he did what he did, how he did what he did," Weld County District Attorney Michael Rourke said.
But in the "Dr. Phil" interview, Lambert said the couple got into a fight and Chris Watts confessed he was having an affair. He also said he wanted a divorce and declared that their relationship was over.
"And she had said something to the effect of, 'Well, you're not gonna see the kids again.' As a consequence of that conversation, he strangled her to death," Lambert said.
As Watts was preparing to move the body, Bella walked in and asked about her mother, Lambert said.
"She's 4, what we've been told she's quite smart -- was quite smart -- and knew something likely was up. And what he said was that, 'Mommy is sick, we need to take her to the hospital to make her better,'" Lambert said.
Lambert said his understanding is that Chris Watts put Shanann's body in his truck and then put his children, who were alive at the time, into the truck. He took Celeste's favorite blanket and smothered her, Lambert said.
"At this point, Bella had unbuckled herself from the vehicle," Lambert said. Watts walked back to the truck and that's when Bella made the plea for her life, Lambert said.
At Watts' sentencing, prosecutors said Bella fought back, but was killed. Prosecutors also argued that Watts did not kill her in a rage but deliberately and viciously.
The "Dr. Phil" episode also features video of Chris Watts watching a neighbor's surveillance tape of him backing up his truck and putting something in the back. As Watts watches that surveillance tape, he puts his hands on his head, and the neighbor later notes that he was acting fidgety.