Dr. William Petit Jr., who was severely injured, told police his family had been held hostage for hours Monday before one member, who was not identified, was taken to the bank with a suspect.
Bank employees were suspicious of the transaction around 9:30 a.m. Monday and called police, who then surrounded Petit's home, authorities said.
A town police officer saw two men leaving the home as it was engulfed in flames, authorities said. The men sped away in a station wagon, striking several police cruisers before they were captured.
Petit's wife, Jennifer Hawke-Petit, and their two daughters, Hayley and Michaela, were found dead in the home, said a law enforcement official with firsthand knowledge of the investigation.
The official confirmed the deaths on the condition of anonymity because autopsy results were still pending.
Authorities would not release the names of the suspects. The two men are due Tuesday in court.
Petit, 50, was in stable condition at St. Mary's Hospital in Waterbury, though the extent of his injuries was not released.
Cheshire, an upper-middle class neighborhood of 29,000 and colonial-style homes, is just east of Waterbury and about 15 miles north of New Haven.
"In Cheshire we're not used to this type of event," town Police Chief Michael Cruess said. "It's a very unfortunate, tragic event that's probably going to reach right down to the core of the community."
Hayley Petit received an early acceptance to Dartmouth, her father's alma mater. A tireless fundraiser for multiple sclerosis, captain of the basketball and crew teams and role model for younger students, Hayley Petit came from a family where helping people just came naturally.
"She was such a good, good person," said M. Burch Tracy Ford, head of school at Miss Porter's School in Farmington. "The younger kids just worshipped the ground she walked on."
Petit, the president of the Hartford County Medical Association, is a noted specialist in diabetes and endocrinology and the medical director of the Joslin Diabetes Center Affiliate at The Hospital of Central Connecticut in New Britain.
"It is a shocking day for everyone. It's just beyond anyone's understanding," said Larry Tanner, president and chief executive officer of the hospital.
Petit's wife of 22 years, Jennifer Hawke-Petit, 48, a nurse, was co-director of the health center at Cheshire Academy, a private boarding school.
"It's just a very difficult day here," said Philip Moore, director of communications for the school. "She was very good at educating kids about good health, not just taking care of them when they are not feeling well."
The Rev. Ronald A. Rising, a neighbor, said he had known the family for more than 10 years.
"They're just a lovely family," he said. "It's just awful to think it would happen to a family like that in this community. You don't think about those things happening."