Police found the 68-year-old man's body in a home in a nearby suburb on Friday.
Malcolm Turnbull has described as "heartbreaking" and "shocking" the murder of two teenage children by their father in Sydney's northwest.
A woman in her 30s, believed to be the children's mother, arrived at the scene shortly after police and was treated for shock.
Acting Assistant Commissioner McFadden told news.com.au it had not yet been determined how many shots were fired but that police were speaking with several witnesses.
The father has been identified as 68-year-old John Edwards.
The killings in Sydney came just two months after a grandfather shot dead his wife, daughter and her three children in a mass murder-suicide in Western Australia state.
Juliette Hackett, who lives a few doors down from Mr Edwards' home, she didn't know the family well but the teenagers "had their challenges".
Det Supt McFadden said it was a "targeted attack".
Two "quite powerful" handguns, registered in the father's name sometime this year and used to kill the children, were found at the Normanhurst home, Mr McFadden added. Police say the parents' long-term relationship had broken down and a custody battle had been ongoing for about two years.
Emergency services were called to the home on Hull Road at West Pennant Hills, responding to reports of gunshots about 5.20pm (Thursday 5 July 2018).
"It's very early in the investigation in what can only be described as a tragic set of circumstance for the family", Assistant Commissioner McFadden said.
He said paramedics, who were visibly shaken by what they had seen, were comforted by a NSW Ambulance chaplain.
"We found two teenagers deceased in their bedroom and unfortunately at that time there was nothing could do to help them".
He told reporters the attack was a "very harrowing experience for those initial responding emergency service providers".
Longtime resident John Howard, 82, told news.com.au it was "normally a pretty quiet street". "A lot of young people have been moving into the area".
As forensic examinations of the home continued on Friday morning, it is understood the teens' bodies were removed just before 6am.
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