Investigators have released little information about the deaths, The Denver Post reported. Police Chief Robert White said the officers who found the bodies were responding to a call about gunshots.
"It appears to be an isolated incident," Lt. Matt Murray said.
Murray said police were not searching for a suspect.
The three children are believed to be younger than 11, Murray said. He said the wounded child was in critical condition.
Frank Jersin, who lives in the neighborhood, described the house where the shootings occurred as "kind of a mother-in-law house" behind a larger one. He said both houses had been empty for about two years but that Tuesday night he saw lights in the bigger one.
Jersin said the lights went out, apparently because someone inside realized he was watching.