U.S. Attorney Troy Eid said Edward "Eddie" Davidson, whom the authorities called the "Spam King," and the other two were found at the home in a rural part of Bennett, about 25 miles east of Denver. He said Davidson shot himself.
Eid said the woman and girl were also dead from gunshots.
Authorities had been searching for Davidson, 35, since Sunday, when he and his wife drove away from a minimum-security federal prison in Florence, 90 miles south of Denver.
Davidson was sentenced April 28 to 21 months in prison and ordered to pay $714,139 in restitution to the IRS after pleading guilty to falsifying header information to send spam e-mail, tax evasion and criminal forfeiture.
"What a nightmare, and such a coward," Eid said. "Davidson imposed the 'death penalty' on family members for his own crime."
Arapahoe County undersheriff Mark Campbell said deputies rushed to a home in a subdivision in Bennett after receiving reports of shots fired.
Deputies found Davidson, who appeared to be the gunman, on the driver's side of an SUV in the driveway, and a woman dead on the passenger side.
A girl was found dead in the back of the car, Campbell said. A 7- or 8-month-old boy was found in a car seat uninjured.
Campbell said a teenage girl who was shot in the neck ran to a neighbor's house for help and has been hospitalized. He said the girl had serious injuries, but was coherent and talking when taken to the hospital.
Davidson's relationship to the teen and infant was unclear.
Campbell said they didn't live at the home, which sits on a 35-acre horse property in unincorporated Arapahoe County.
Neighbors told authorities that Davidson used to live in the house, according to Denver media reports.
Eid said that after leaving the federal prison complex in an SUV on Sunday with his wife, Davidson drove to the Denver suburb of Lakewood, got a change of clothes, cash, and then left.
Prosecutors said that from 2002 to 2005, Davidson's business, Power Promoters, and his subcontractors would spam people's inboxes with e-mails promoting items like watches and perfume.
From 2005 through part of 2006, he sent thousands of e-mails from his home in Bennett, sometimes with false information, on behalf of a Houston company promoting a penny stock as an excellent investment, according to a plea agreement. His bank account deposits from 2003 to 2006 totaled $3.5 million, the plea agreement said.
Prosecutors said they also found about $380,000 that he had stashed in his girlfriend's bank account over three years, and purchases totaling $418,000 from a company that sells gold, platinum, palladium and silver coins.
Prosecutors did not identify the girlfriend in court documents.
When Davidson was sentenced, U.S. District Judge Marcia Krieger noted it was Davidson's first serious conviction, and that he was supporting three children, which documents did not identify. She noted Davidson had been diagnosed with attention deficit hyperactivity disorder. A condition of his sentence was that he undergo mental health counseling.
"He obviously has some unresolved issues with regard to his childhood and how he was raised that he believes impair his ability to make good decisions in the future," Krieger said during the sentencing hearing.
Michael Arvin, Davidson's attorney during his criminal trial, did not return a phone message left after business hours Thursday.
State Rep. Buffie McFadyen, D-Pueblo, a critic of federal staffing at the Florence prison complex, criticized the U.S. attorney's characterization of Davidson's escape as a "walkway" rather than an escape that posed a risk to the public.
"It's time for the U.S. Attorney's office and the Federal Bureau of Prisons to refer to those who escape from prison, whether minimum security camps or high security prisons, for what they are, escapees," McFadyen told The Gazette of Colorado Springs.
"Three separate federal agencies, the U.S. Marshals, FBI and IRS, were all hunting him," she said. "If he's no danger to the public why were three agencies after him?"