Christopher Watts, 33, sent the messages to wife Shanann Watts, 34, on June 19, when she sent him an ultrasound showing the progress of her third pregnancy.
'Little Peanut!! Love her/him already!!!' Christopher wrote in response to the ultrasound image.
Shanann shared the exchange on Facebook later the same day, writing: 'I love Chris! He's the best dad us girls could ask for.'
On Thursday, police said they had found the bodies of Shanann and her daughters, three-year-old Celeste and four-year-old Bella, in a Colorado oil field where Watts worked.