Police divers have found the body of a man at a dam in Australia, after a woman and her three children were discovered shot dead at a remote farmhouse.

Farmer Geoff Hunt has been missing since the bodies of his wife Kim (41) and his children Fletcher (10), Mia (8) and Phoebe (6) were found at a property near Wagga Wagga in New South Wales on Tuesday.

Divers at Lockhart Dam, not far from the farmhouse, found a gun on the dead man and police said the body had injuries "not inconsistent" with wounds found on the woman and children.

Police earlier on Wednesday described the death scene of the mother and her three young children as "horrific" and like nothing they had ever encountered.

"I don't think even the most hardened professional could remain unmoved by what's out there," Wagga Wagga local area commander Superintendent Bob Noble said.

"It's certainly not something I've encountered anything similar to before, and I hope not to ever again."

Local media reported the alarm was raised when the children failed to turn up to school. Emergency services were called to the farmhouse on Tuesday afternoon and found the children's bodies inside the property and their mother on the path outside.

The Hunt family were well loved by the local community, Supt Noble said.

"It's going to send quite a shock wave through those communities and throughout the whole area," he said.

"These people were well integrated into the local community through work, through social events, through sport. Three young children attended the local school. It is going to devastate everyone."

Lockhart Mayor Peter Yates said the 900-strong town community was in severe shock, according to the Australian Associated Press.

"It's just really, really, really traumatising," he said.

Deputy mayor Roger Schirmer said the mood was sombre. "They were a highly regarded solid family. It will rock this town," he said.

Mrs Hunt had just returned to nursing in April after recovering from a serious car accident two years ago. The local parish priest, Father Tony Schipp, said nobody in town had suspected anything was amiss with Mr Hunt.

"He was happy. He was making arrangements for events that were coming up, that he was going to be part of," Father Schipp said.