Phoebe and Emma were found at the house. Lily was in the car.
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Post-mortem examinations are being carried out on the bodies of a woman and her two daughters found dead after a violent incident at their home.
Detectives confirmed a weapon had been used to kill Joanne Catley, 33, Phoebe Hicks, four, and Emma Hicks, two.
Ms Catley was starting a new life after leaving Richard Hicks, 37, whose body was found in the Humber on Tuesday.
The couple's third daughter, 13-month-old Lily Hicks, is in care after surviving the family tragedy.
Relationship problems
Officers found Mr Hicks' body at 2300 GMT on Tuesday, four-and-a-half hours after the discovery of his blue Nissan Micra on the south side of the bridge.
Baby Lily, who had been abandoned in the car, was taken to hospital in Scunthorpe for medical checks, but is believed to be uninjured.
She is now in the care of social services.
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It was an horrific scene for my police officers to walk into
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Police said they were not looking for anyone else in connection with the triple murder and confirmed they were investigating the couple's past relationship problems.
Detective Chief Inspector Phil Spicksley, who is leading the investigation, said the mother and her two daughters had suffered a "vicious and violent attack".
He confirmed a weapon had been used in the attack but refused to specify what it was.
He said: "It was an horrific scene for my police officers to walk into and they will be given counselling and support if they need it."
New life
It emerged Ms Catley had recently left a violent relationship with Mr Hicks to start a new life in Healing.
It is understood that police had been called to the couple's pub, The Green Man, which they jointly ran in Stallingborough, on at least two occasions in recent weeks.
The couple split up about two weeks ago and Ms Catley moved to Healing with her three children. Mr Hicks moved to Grimsby.
The current landlord of The Green Man, Nigel Exley, described Ms Catley as a popular landlady.
"She was a happy-go-lucky type of girl," he said.
A Humberside Police spokeswoman said: "Joanne was not currently working. She was local to the area, born and grew up in the Great Coates area and went to Whitgift School in Grimsby."