The man, identified by locals as Julian Mynott, had taken his son Freddie and daughter Florence and another boy out in a rowing boat Saturday when it capsized on a weir just after 5:30 p.m., The Daily Telegraph reported.
Florence and the other boy were pulled from the river by locals, but Mynott and Freddie were found later.
One man said he witnessed the incident from his home on the river.
"We could see the father in the water trying to swim towards his son, but the current was too strong," said the man, who did not want to be named. "The boat had gone straight over the weir and capsized. The dad was trying to get back to the boat where he thought his children were."
Another witness said Mynott tried to save the children once he realized they were not in the boat.
"He was desperately trying to hold the boy's head above the water, but he was being pulled under too," the witness said. "Me and my girlfriend grabbed a life ring and threw it over to him [the boy]. The current carried it right over to him and we pulled him back."
"When we pulled him out of the water we realised there was a little girl too -- her foot had become tangled in the rope and she had been dragged upside down to the shore. We didn't even know she was there," he said.
The witness said the river was known to be dangerous: "The weir is absolutely deadly. Another child, a teenager, died in a canoe in exactly the same place a few years back."
"It is an absolute tragedy -- the whole village is still in shock," he said.