The 55-year-old, identified by Spanish media by his initials J.I.B.A., is thought to have murdered his daughters, aged seven and nine, before taking his own life.
The bodies of the two girls were found in the man's apartment in the Soto del Barco municipality in Spain's Asturias region early on Thursday evening.
The man who was separated from his wife and had shared custody of the children, was supposed to return the girls to their mother on Thursday. Police entered his flat after the mother reported to police that he had failed to bring the girl's home.
Local daily La Nueva España reported there was blood on the doormat of the apartment and that an iron bar covered in blood was discovered inside.