On Saturday night, friends and family turned up for a dinner party at the Massachusetts home of Neil and Rachel Entwistle.
They found the house in darkness and apparently no one at home.
They contacted police and the following day, officers broke into the five-bedroom colonial-style house and made the grim discovery - Rachel Entwistle and her nine-month-old daughter Lillian Rose lying side-by-side, under a pile of blankets, in the master bedroom.
There were no obvious signs of foul play and so little blood on the bed that police at first thought they had died of carbon monoxide poisoning and only found the bullet wounds later.
Initially, investigators only detected one gunshot wound to Mrs Entwistle's torso, but an autopsy revealed the cause of death was a gunshot wound to the head. Both deaths are being treated as homicides.
Relatives told police they last spoke to Mrs Entwistle on Thursday night last week and had a normal conversation. They also told investigators the Entwistles did not have a history of marital problems.
As the search intensified for British-born Mr Entwistle, reports emerged that his car had been found at Logan International Airport, Boston, and his name was on a passenger list for a flight from Boston to London on Friday.
Earlier yesterday, Middlesex District Attorney Martha Coakley said Mr Entwistle has been out of town since at least Friday. She said: "He had contacted police at one stage and we have been in touch with him since".
She would not confirm where his car was found but added: "We are aware of where he is. There are other people that we are interested in talking to. I am not going to label him a suspect at this stage.
"Obviously we have a high level of interest in him."
Amid reports last night that he had returned to London, US police said they had tracked him to a location outside the United States and spoken to him several times, although they were still not labelling him a suspect.
The Middlesex DA's office in Massachusetts said there had been developments in the investigation but they could not reveal them at this stage.
It was also said that there was not enough evidence suggesting Mr Entwistle was involved in the murders to arrest him.
A spokeswoman for the DA's office said: "We have to have a probable cause to arrest someone.
"We are working towards having enough evidence to arrest whoever the culprit is.
"When someone is murdered we try to build a complete picture of their life and everything that was going on in it, and explore all the different potential matters that someone might have to do that to them.
"We are talking to everyone we can. But because they had only lived there for ten days, many of their neighbours don't even know them.
"Those people weren't even aware what was going on in the house in the days leading up to these events.
"There's definitely been progress."
