"The children went into the room and discovered their parents," said LAPD Detective Joel Price.
The oldest child, a 12-year-old boy, then called 911.
The 12-year-old, his 10-year-old brother and 5-year-old sister are now in protective custody.
"I can't tell you how upsetting this is, three kids with no parents, what are they going to do?" said one neighbor.
Price said the couple had marital problems and may have been preparing to separate.
The couple had also reportedly argued Sunday afternoon before the shooting.