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Twin girls, aged two, another girl aged three-and-a-half, their mother and grandmother are the victims of what's feared to be the third mass killing in Western Australia this year.

The bodies of children are among five discovered by police at a house in Western Australia.

The shocking discovery came after a man in his 20s visited a regional WA police station on Sunday morning.

"The man now assisting police remains in custody, no charges have been laid at this time".

Forensic police and the homicide squad are undertaking a "meticulous" investigation of the Bedford crime scene which "could take a number of days".

When police entered, they discovered the bodies of two women and three young children.

Assistant commissioner Paul Steele said the incident was "tragic" but that there were no ongoing safety concerns. "It is safe, we have grown up all our lives and this is just so sad and horrific".

"It is tragic not only for the family and the friends, it is also tragic for those first responders who are forced to attend such scenes", he said.

"We're all in complete shock".

Police were on Sunday night yet to confirm the identities of the deceased but it is believed they are a mother, her three children and another older female relative.

"It is something you never would think would happen in this area", she said.

He said specialist forensic police would investigate the scene, which was stil at a "very early stage".

Ms Harvey and Mr Harvey both used to work for a Sino Steel Pilbara mine, and Ms Harvey sold some of her properties to help her partner start up a business.

A distraught neighbour near the scene said she often saw children playing in the front yard of the house. He was questioned, but it's unclear if he's related to the victims and no charges have been laid yet.

Peter Miles, 61, his 58-year-old wife Cynda, their daughter Katrina, 35, and her four children - daughter Taye, 13, and sons Rylan, 12, Arye, 10, and Kadyn, eight - were found dead at their Forever Dreaming Farm in Osmington on May 11.

The incident comes just months after seven people were found dead at Margaret River.