Two other videos show Shanann praising her husband as "the best thing that's ever happened to me" and telling him she was pregnant two months before he allegedly killed her and their two young girls.
Shanann revealed the pregnancy to her husband in a video posted on Facebook in June. He smiles after seeing the positive test and says, "I guess when you really want something it happens".
In another video, uploaded to Facebook a month before, Shanann is seen speaking about how serious health problems had thrust her into the "darkest time of my life" before she met Watts, who she calls "wonderful".
In the pregnancy video, Watts is seen walking through a doorway into the family's lounge room. He pauses for several seconds while looking at his wife's t-shirt bearing the words, "oops, we did it again".
He then walks slowly towards her and laughs before saying, "I like that shirt... really?" When Shanann says yes he replies, "That's awesome".
He asks if the pink colour on the pregnancy tests means the baby will be a girl, to which she replies it doesn't. "That's awesome," he repeats before kissing her. "I guess when you really want something to happen, it happens."
Shannon was 15-weeks pregnant with a boy when she died. The child was going to be called Nico.
The other video begins with Shanann telling her Facebook friends about the health problems she had faced before she met Watts, which forced her to quit her job of nine years.
"I thought my life was crumbling underneath me and I didn't have many friends, as those I did have I lost because they didn't understand that I looked fine but felt horribly inside," she says. "I felt a lot of discomforts, a lot of aches, a lot of bad moods."
Shanann says she initially rejected a Facebook friend suggestion for Watts, but later changed her mind when he sent a request himself.
"I got a friend request from Chris on Facebook, I was in a really bad place and thought 'what the heck, I'm never going to meet him' so accepted.
"One thing led to another and eight years later we have two kids, we live in Colorado, and he's the best thing that has ever happened to me.
"Because of my health challenges I let him in... he knew me at my worst and he accepted me. Through sickness and everything he's been there.
"When I first met Chris I pushed him away, I gave every excuse for him to run, I gave him an out every single day... I tortured him... But he stuck around because he was the one for me, I can't tell you how wonderful he is."
Friends Nicholas and Amanda Thayer suggested that before her death Shanann thought Watts could have been unfaithful, telling CBS: "It came to her mind that possibly he could be cheating."
However, others said they enjoyed a strong relationship. "I don't know why he would want to kill her, the wife and the two kids," Joe Beach, a neighbour of the family in Aberdeen, told ABC 11.
"I'm still in complete shock about it," said Joe Duty, Watts former teacher. "Chris was one of the best students that I ever taught ... He was always punctual, did everything right."
In June, Shanann shared an ultrasound of their unborn third child on Facebook, calling Watts "the best dad us girls could ask for".
Watts appeared in court for the first time on Thursday in an orange jumpsuit and shackles. He was denied bail.
The suspect did not speak as he was escorted into the courtroom. He looked down for much of the hearing but made eye contact as the judge reviewed his rights.
Though formal charges have not yet been filed, he could face three charges of murder and three charges of tampering with evidence.
Judge Marcelo Kopcow told prosecutors to file formal charges by Monday and set a Tuesday hearing to review them.
Kopcow approved a request by Watts' attorney that police preserve all written notes and notify the defense team before autopsies are performed. It is not clear when that will happen.
Prosecutors say they believe Shanann and her children were killed in their home and the bodies later moved, but no cause of death has been made public.
Shanann went missing on Monday after returning from a business trip to Arizona at around 1am.
She promotes a weight loss supplement for a living and travels the country to attend sales conferences.
The children spent the weekend at home with their father while their mother was away working, police said.
Watts said the last time he saw his wife was at 5.15am on Monday when he left for work. He said that they had stayed up having an "emotional conversation" between her arrival at 1am and his departure for work.
He said he became worried when she did not reply to his text messages later in the morning. Watts said he became panicked when a friend arrived at the home at noon and there was no answer.
The couple had previously faced financial difficulties, and were due in court next week to face a lawsuit from their homeowners' association, which was suing them for $1,500.
They filed for bankruptcy in 2015 to escape crushing credit card debts and focus on paying off their mortgage.
Watts had gotten a job six months earlier as an operator for Anadarko, and paystubs indicate his annual salary was about $61,500.
Shanann was working in a call center at a children's hospital at the time, earning about $18 an hour — more for evenings, weekends or extra shifts she sometimes worked.
The couple had a combined income of $90,000 in 2014. But they also had tens of thousands of dollars in credit card debt, along with some student loans and medical bills — for a total of $70,000 in unsecured claims on top of a sizable mortgage.
They said in the filing that their nearly $3,000 mortgage and $600 in monthly car payments formed the bulk of their $4,900 in monthly expenses.
Watts was employed at Anadarko until word of his arrest on Wednesday, the company told DailyMail.com.
Shanann appeared highly engaged with her work marketing supplements, boasting on social media of work trips to New Orleans, Toronto, Punta Cana in the Dominican Republic, Puerto Vallarta in Mexico, Las Vegas and San Diego.
Authorities are being extraordinarily tight-lipped about their investigation and are refusing to say how they think Shanann died or the motive of the killer.
They would not indicate on Thursday when they think the mother was killed, or if they believe the children were still alive when she returned on Monday from her business trip.
Nor did investigators reveal what prompted Watts to make his apparent confession.
He did lead police to Shanann's body, police said, adding on Thursday that they also believe they known the location of the two girls' bodies.
The Weld County District Attorney asked a judge to seal the arrest affidavit and was granted his request.
On Thursday, the DA said he hoped to share more details on Monday when he planned to lodge formal charges against Christopher.
Shanann's family, in the meantime, have been left outraged by the investigation. They say police "dragged their heels" in taking Christopher into custody.
"The cops drug their feet. He was the only one with them and backed his truck into the garage," Shanann's brother Frankie Rzucek fumed on social media on Thursday.
"Doesn't take a genius to know who was suspect. My blood is boiling."
On Thursday, Shanann's family issued a statement sharing their grief.
"The family are deeply saddened over the inhumane murders of their beloved daughter and sister Shanann, her unborn child and her beautiful daughters Bella Marie and Celeste Cathryn.
"Please allow the family, and those close, to mourn their passing in private."
A fundraiser to help support Shanann's family in paying funeral and other expenses raised nearly $30,000 in just two days.
On Wednesday, police were seen searching the family's home at the same time. They towed away Watts' truck and were seen putting other evidence into bags.
Hours earlier, Watts appeared on NBC's Today show where he said he had "no idea" where they went.
"I don't feel like this is even real right now. It's like a nightmare I can't wake up from," he said.
"When I got home yesterday it was like a ghost town. She wasn't here. The kids weren't here. I have no idea, like, where they went," he said.
However, in a separate interview, he told Fox that Shanann told him she was going to a friend's home with their daughters.
She said she was going to a friend's house with the kids and that's the last thing I heard, and that was it.
"It was very vague," he said.
"In my heart I believe that she is somewhere and I hope that she is safe."
Elsewhere, he said he was not so sure.
"Right now I don't want to just throw anything out there. I hope that she's somewhere safe right now and with the kids.
"But could she have just taken off? I don't know, but if somebody has her and they're not safe, I want them back now."
Turning to the camera, he made a direct plea to them, saying: "Shanann, Bella, Celeste, if you're out there just come back.
"If somebody has her, just bring her back.
"I just need to see everybody. I need to see everybody again.
"This house is not complete without anybody here. Please bring her back."
