Police have launched a criminal investigation after the frozen body of a three-year-old girl was found on a Saskatchewan First Nation reserve Wednesday, a day after the body of her one-year-old sister was also discovered in the snow.

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A family photo shows Christopher Pauchay, left to right, Santana Pauchay, Tracey Jimmy and Kaydance Pauchay, taken a month ago with Santa Claus. ((Troy Fleece/Canadian Press))

Searchers found Kaydance Pauchay, 3, just before noon CT on Yellow Quill First Nation Reserve, in -30 C weather. RCMP and volunteers searched through the night after being alerted that the second sister was missing.

RCMP earlier reported that Kaydance's body was found first, and then her younger sister, Santana.

Police picked up their father, Christopher Pauchay, 25, early Tuesday and took him to the hospital for treatment of frostbite and hypothermia. At that time, they did not know the girls were missing.

Investigators said the father has been interviewed, but has not provided them with certain details they need in the case.

"His physical injuries are such that he's going to remain in hospital for some time," said RCMP Sgt. Brad Kaeding. "However, having said that, I'm not sure that he's been in a position to provide a detailed account of exactly what took place."

He said no charges have been laid against the father, and it is too soon to tell if they will be.

"I feel sad, I don't like to talk much," said Pearl Pauchay, the girls' grandmother. "It's sad to have a loss."

Police say alcohol may have been a factor

She said she thinks her son had been drinking the night he was found. The RCMP have also said the man appeared to be under the influence of alcohol.

"I just heard my son was in the hospital and he was complaining about his daughters he left in the field — 'I left my babies in the field,' he was telling the RCMP," Pearl said.

She said Christopher cried when he was told his daughters were dead.

"He had no clue at all," she said. "When I went to see him yesterday evening, he couldn't remember what happened. He was out of it."

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RCMP and volunteers found a second child dead on the Yellow Quill First Nation Wednesday. ((CBC))

The tragic chain of events started at around 5:30 a.m. Tuesday, when RCMP and ambulance attendants came to the aid of a man on the reserve, which is about 250 kilometres east of Saskatoon.

He was suffering from frostbite and hypothermia, and was rushed to hospital. Temperatures in Saskatchewan on Tuesday were in the –30s C in most areas. With the wind chill, it felt as cold as –50 C in some areas.

Because of his injuries, Christopher wasn't able to speak until about eight hours later. When he did speak to investigators at around 1:30 p.m., he asked about his daughters.

Girls weren't dressed for the weather

Police went back to search on the Kelvington-area reserve and found one-year-old Santana's body between the man's home and another house, about 400 metres away from where the man was found.

The girl was wearing only a top and a diaper, the RCMP said.

Her older sister Kaydance was similarly dressed, with no coverings on her legs or feet. Autopsies are planned.

The RCMP is still trying to understand why the girls were outside. They said they know the man was at home around midnight on Tuesday, and arrived at a neighbouring house at 5:30 a.m.

"The timeframe between 12:30 and 5:30 in the morning is what needs to be explained at this point. We do believe that when he left his residence he had his children with him and unfortunately when he arrived at his neighbour's residence they were no longer with him," Kaeding said.

People on the reserve said the community of about 800 is in shock.

"It's a pretty sad day for us over here," said Chief Robert Whitehead.

Children who knew the little girls cried during a gathering of mourners at the grandmother's home. The woman's niece, Margaret Roper, said the girls' deaths were part of a larger social problem on the reserve that remains unresolved.

"After everybody leaves, we will be the ones dealing with these issues, and there are a lot of issues," said Roper.

"It just breaks my heart to know that these children are the results of what is going on in our community. These kids are going to die in vain.

"Our leadership needs to wake up and take a good look at our First Nations communities."

With files from the Canadian Press