He had taken his two girls to a birthday party just 24 hours prior, feeding them pizza and giving them each a snack before putting them to bed.
Hours later, the girls and their mother were all murdered in the house. Shanann's body was dumped in a shallow grave on a property owned by Andarko Petroleum, where Watts worked as an operator, and his daughters were found in an oil tank.
Watts strangled his wife with his bare hands, suffocated the children and then loaded their bodies in his vehicle and drove away to hide their remains, prosecutors said.
He initially denied claims of killing his family, but moments after having made a public plea for their return, police arrested the 33-year-old from Colorado over their murder.
What Bella said to her father were believed to be her last words before her death.
The TV interview comes a week after Colorado Bureau of Investigation spokeswoman Susan Medina said Watts provided investigators with "additional information" about the murders of his family on February 18.
According to CNN, the CBI said a written report and audio file from that interview would be released on Thursday.
Watts had originally claimed he killed his wife after watching her murder their daughters on the baby monitor. This was untrue.
"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 lawyer Michael Rourke said after Watts' sentencing last November.
But in the Dr. Phil interview, Mr Lambert said the couple got into a fight and 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," Mr Lambert said.
Watts denied he was having an affair in police interviews, but an investigation later uncovered he was in a relationship with a co-worker — having sent a chilling text message to his mistress soon after he slaughtered his pregnant wife and two little girls.
Mr Lambert told Dr. Phil as Watts began to wrap Shanann's body up in a sheet, Bella walked in and asked about her mother.
"She's four, 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'," Mr Lambert said.
The Dr. Phil episode also features video of Watts watching a neighbour's surveillance tape of him backing up his truck and putting something in the back.
As Watts watches the tape, at his home, he puts his hands on his head, acting fidgety.
Footage was released of Watts returning home from dumping his wife and daughters' bodies to find police at his door.
Nickole Atkinson, Shannan's best friend, was also with police as she filed a missing person's report after failing to get in touch with the pregnant mum-of-two.
Even though Watts barely acknowledges Ms Atkinson as police search the house, the nervous-looking triple-killer can be seen glaring at Ms Atkinson multiple times.
Originally, Watts faced the possibility of the death penalty or life in prison without parole.
But with the agreement of Shanann's family, the death penalty was eliminated from consideration in exchange for Watts pleading guilty.
At Watts' sentencing, Shanann's father, Frank Rzucek, called him a "heartless monster".
