The body of a woman was also found a few hundred metres away in the spectacular Creux-du-Van nature reserve, but it was not immediately clear if there was a link. All four are believed to be French nationals.
Police had launched a search in the Jura mountain area using a helicopter and sniffer dogs after an unidentified man called, voicing concern about a message he had received from a relative revealing plans to kill himself and his two small children.
"The most likely scenario is that (the man) killed himself with his two children," Daniel Favre, deputy spokesman for the police in the canton of Neuchatel, told AFP.
Police later identified the man as a 45-year-old. His son was two and his daughter was three, a statement said.
Initial indications suggested that the woman who was also found was not the wife and mother of the deceased man and children.
Police listed her age as "around 45" and said she lived in Neuchatel.
Preliminary evidence suggests she also committed suicide, the statement said.
"For the moment, it is really unclear if the two cases are linked, but it doesn't seem so," Favre said.