Sgt. Michael Pedersen, 51, is believed to have killed his children Ben, 7, and Freya, 6, and then himself, two weeks ago, after he and his wife Erica, 43, separated, The Daily Telegraph reported Monday.
Detectives began their investigation after a passerby found the three bodies near a horse path in Andover, England, Sunday, the newspaper said.
Pedersen was a member of the Royal Household Cavalry and in 1982 was riding a horse named Sefton, en route to the famous "Changing of the Guards" ceremony in London's Hyde Park, when a car bomb exploded, killing five soldiers and seven horses. The bombing was blamed on the Irish Republican Army.
Pedersen sustained severe shock, but his horse, which survived after sustaining 34 wounds and requiring eight hours of surgery, became symbolic of the struggle against the IRA, the newspaper said.
Pedersen worked as a truck driver and operated a hauling company after his retirement, neighbors said.