The family left their house in Ghatkesar area on Monday evening.
A couple allegedly committed suicide by jumping into a lake in Keesara area near Hyderabad along with their two minor daughters, including a six-month-old, who died in the incident, police said on Tuesday.
Police suspect that the couple might have taken the extreme step over some family issue.
The deceased were identified as M Ramesh (30), a businessman, his wife Shyamala alias Manasa (26) and their two daughters- three-year-old Gitasri and six-month-old Divija, an officer said.
"The bodies of the four family members were recovered from the lake, around 35 kms from here, this afternoon," Keesara Police Station Inspector M Surender Goud said.
Based on the preliminary investigation, it was found that the couple had left their house in Ghatkesar area on Monday evening along with their two daughters.
"Manasa's brother and other family members looked for them and noticed Ramesh's bike parked near the lake this morning. They suspected that their kin might have jumped into the water body. A search was launched when the family members of Manasa approached the police," he said.
Police launched a search operation with the help of expert swimmers and retrieved the four bodies from the lake, Mr Goud added.
After the recovery of the bodies, Manasa's father lodged a complaint, in which he alleged that his daughter's in-laws were harassing her.
"In the complaint, he said that his daughter's in-laws - her sister-in-law and other family members- were harassing and torturing her for not giving birth to a boy, which he claimed forced her to take the extreme step along with her husband and two daughters," an investigating officer said.
The couple had got married in March 2014. Police have registered a case and further investigation is on.