Dr. William Petit Jr., who was severely injured, told police his family had been held hostage for hours before a family member was taken to the bank with a suspect.
The Hartford Courant identifies that person as his wife, Jennifer Hawke-Petit.
Bank employees were suspicious of the transaction and called police, who surrounded Petit's home, authorities said. Hawke-Petit may have alerted the bank employees somehow, the Courant reported.
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.
The residence was fully engulfed in flames, state police spokesman Lt. J. Paul Vance told CBS affiliate WFSB-TV.
Hawke-Petit and their two daughters, Hayley and Michaela, were found dead in the home.
"In Cheshire we're not used to this type of event," 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."
"I'd like to think it was an isolated incident," Matt Eigner, who lives down the road, told the Waterbury Republican American. "I'm scared to death, it's unbelievable."
Authorities would not release the names of the suspects. The two men were due Tuesday in Meriden Superior Court.
Petit, 50, a well-known diabetes specialist, was in stable condition at St. Mary's Hospital in Waterbury, though it was not released how he was injured.
"It's devastating. What I understand so far is that just the husband that survived and as a father and husband myself, I can't imagine living that way," neighbor Chad Wilson told WFSB.
"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 of Central Connecticut.
Petit is the medical director of the Joslin Diabetes Center Affiliate at The Hospital of Central Connecticut in New Britain. His wife of 22 years was a nurse and worked at the Cheshire Academy, a boarding school, as co-director of its health center.
Their upper-middle class neighborhood includes Colonial homes with well-kept lawns in the New Haven suburb.
Neighbor Walter Ryan was walking his dog when he saw the flames coming from the home and then watched as police, with guns drawn, moved through yards and shouted, "'Get out of the car!'"
The Rev. Ronald A. Rising, a neighbor, said he has 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."
Neighbor Laura Parisi, a friend of the Petits' older daughter, Hayley, said the 17-year-old had just graduated from the prestigious Miss Porter's School in Farmington and was accepted at Dartmouth, her father's alma mater.
"It's just insane," Parisi said of the deaths. "I can't even describe it."
Officials at Miss Porter's School told WFSB that Hayley ran a charity called Hayley's Hope which raised over $50,000 to fight multiple sclerosis. She was also co-editor in chief of the school newspaper, co-captain of the crew team and a member of the basketball and cross country teams.
Her mother had been diagnosed with multiple sclerosis eight years ago, the Courant reported.