Police Officer Joshua Boren, 34, didn't show up for his 10 p.m. shift at the Lindon City Police Department in Utah on Thursday night.
When his colleagues couldn't reach him by phone, they asked police in Spanish Fork, where Boren lived, to check on him.
Spanish Fork police said they arrived at Boren's home about 11 p.m. and found him dead, along with his wife Kelly Boren, 32, mother-in-law Marie King, 55, and two children, 7-year-old Joshua 'Jaden' Boren and 5-year-old Haley Boren, were dead.
Investigators think Boren killed his family before turning the gun on himself, Spanish Forks Police Department Lt. Matt Johnson told the Los Angeles Times.
"When the police officers arrived they saw Boren's patrol car parked on the street and his private vehicle, as well as his wife's vehicle, parked in the driveway," Johnson said.
Officers noticed that several lights were on inside the house, but no one answered the door, he said. When they peered through the windows, they noticed some blood and empty handgun shell casings on the floor, Johnson said.
The door was unlocked, he said. Officers walked in, announced themselves and began searching the two-story home.
"They didn't locate anyone on the main floor ... but they noticed a large quantity of blood on the stairway landing that was leading to the second floor," Johnson said.
When they went up the flight of stairs, they found King dead in one room and the other family members, including Boren, dead in the adjacent bedroom. All the victims had been shot, Johnson said.
Lindon police said Boren had shown no signs of distress before the incident.
"Lindon City Police Department officers praised Boren's work ethic, demeanor and attitude," Johnson said. "There was nothing to indicate anything of this nature would happen."
In a statement, Lindon City Police Chief Cody Cullimore said the department was "shocked and saddened by the events as they appear to have occurred."
"Officer Boren was selected for hire in October from a field of over 70 highly qualified applicants and had performed admirably as a patrol officer," Cullimore said. "His conduct, behavior and professionalism were exemplary."
However, Johnson said, some friends and acquaintances told police officers that Boren had been experiencing marital problems for the past several months. No suicide note was found at the residence.
Before he joined the Lindon force, Boren had been a deputy with the Utah County Sheriff's Office for more than seven years, according to the Lindon police statement.
"We are working closely with the Spanish Fork Police Department to investigate and hopefully come to an understanding of this tragic occurrence," Cullimore said.
Lindon is about 35 miles south of Salt Lake City, and Spanish Fork is another 20 miles south.