He also for local escort services and Web sites that offer help finding sexual partners, authorities said in the documents released Monday by a judge.
Neil Entwistle, 27, was arrested in his native England last week. He was charged in the Jan. 20 slayings of his wife, Rachel, 27, and their 9-month-old daughter, Lillian, at their home in suburban Boston. They were found shot to death in bed.
There appeared to be trauma to the infant's face, including a contusion, and bruises to the left eye, nose and mouth area, CBS News' The Early Show co-anchor Rene Syler reports.
"People are speculating that this means, possibly, Rachel was holding the baby in her arms, that the baby was shot first, and perhaps Rachel dropped her on the ground," CBS News legal analyst Wendy Murphy tells Syler.
The documents also depict Entwistle as a secretive man who was sinking deep into debt without telling his family, CBS News correspondent Elizabeth Palmer reports. He had not worked since he and his wife moved to her native Massachusetts from England with their daughter about five months before the murders. His wife, who had been a teacher, also was not working.
Prosecutors said in an arrest warrant affidavit last week they believe Entwistle killed his wife and daughter because he was despondent after accumulating tens of thousands of dollars in debt, and that he had expressed "a dissatisfaction with his sex life."
"I don't think this is one of those sort of rage killings that happened on the spur of the moment," Murphy tells The Early Show. "(And) there's a lot of evidence of premeditation in case, getting the weapon, the cover-up, the fact that he was returning the gun to the place he took it, from Rachel's stepfather."
Prosecutors also said Entwistle may have planned to commit suicide, but instead fled to his parents' home in England.
Entwistle did not fight extradition, and U.S. marshals are scheduled to bring him back to Massachusetts this week; his travel arrangements are unknown. A spokesman for the office said Tuesday he had no information on the date or time.
"He believes that he will receive a fair and proper hearing in the United States on these very serious allegations," Judith Seddon, Entwistle's lawyer, tells CBS News.
The more than 200 pages of documents released Monday, over the objection of Middlesex District Attorney Martha Coakley, add more details from affidavits filed to support search warrants for Entwistle's home, car and computers. Framingham District Court Judge Robert Greco granted a request from media organizations to make the documents public.
Investigators said a search of Entwistle's computer revealed Internet searches seeking information about suicide, euthanasia and "killing people with a knife," on Jan. 16-17.
The same week, authorities said, he obtained the names and addresses of various escort services in the Boston area, including "Eye Candy Entertainment," "Sweet Temptations" and "Exotic Express." He visited a Web site called "Adult Friend Finder," which investigators said helps subscribers find sexual partners through Internet chat rooms, personal ads and other services.