The body of John Edwards, 68, was found early on Friday in his Normanhurst home, 4km from where he killed his 15-year-old son and 13-year-old daughter in their West Pennant Hills home about 5.20pm on Thursday.
Police believe the gunman took his own life very soon after the shooting, which was overheard by neighbours.
Malcolm Turnbull has described as "heartbreaking" and "shocking" the murder of two teenage children by their father in Sydney's northwest.
"This is a heartbreaking crime. Two children killed. Murdered. It appears by their father. Who has subsequently taken his own life. It's a terrible, terrible tragedy. Our hearts go out to the mother and to all of the family, and we mourn the loss of those young people."
