He said officers made the discovery on Coode Street in Bedford after a man attended a regional police station.
The man, who is in his 20s, is in custody. It is not yet known if the victims were related.
Mr Steele called the discovery “heartbreaking” and said the tragedy would send send a ripple through the wider community.
He said forensic teams were on the scene and investigators were trying to piece together a timeline of events.