The man believed to have stabbed his two children to death before killing himself near Andover was a cavalryman who famously survived the 1982 IRA bombing in Hyde Park.
The bodies of Michael Pedersen, 51, of Chertsey, Surrey, and Ben Pedersen, seven, and Freya Pedersen, six, both of Ashford, Middlesex, were found on a bridleway in Newton Stacey.
Mr Pedersen was a member of the Household Cavalry unit hit by the IRA nail bomb in Hyde Park in 1982, as the unit took part in a changing of the guard ceremony.
Four soldiers and seven horses were killed in the explosion, which left Mr Pedersen's horse Sefton seriously injured.
Despite 34 separate wounds that required eight hours of surgery, the animal survived. Sefton became a symbol of the struggle against the IRA and won the Horse Of The Year - a prize Mr Pedersen picked up on the animal's behalf.
It is also being reported that Mr Pedersen and wife Erica had separated just a few weeks ago.
Hampshire Police were alerted at 6.15pm on Sunday by a member of the public who discovered the children's bodies behind a Saab 900SE convertible car.
No-one else is being sought in connection with the deaths, police said.
Meanwhile, Surrey Police said they had had "previous contact" with the Pedersen family and would be referring this contact to the Independent Police Complaints Commission for review.
The children's maternal grandfather, William Clifford, 67, from Buckinghamshire, speaking outside his daughter Erica's home in Ashford, Middlesex, said: "We are obviously devastated and what we would ask is that you respect our privacy in this matter.
"It is extremely distressing and that is all I want to say."
Hampshire Police Detective Superintendent Tony Harris said the mother of the two children had alerted Surrey Police at 7pm on Sunday after Mr Pedersen failed to return with the children at the arranged time of 5pm.
He said he believed the deaths happened at some point during the afternoon.
"A Home Office pathologist visited the scene and at this time it appears the children suffered fatal stab wounds and Mr Pedersen took his own life shortly afterwards," he said.
"They were visiting relatives in Andover, which is nearby. It was the father of Mr Pedersen, the grandfather of the children."
Describing the incident, he added: "Any scene you go to with children involved is distressing for the officers, we have given them support and they continue to receive support.
"It is very tragic, it's a dreadful loss of life, one of the most tragic cases I have had to deal with."
Mr Harris said police were in the process of tracing the family of Mr Pedersen, who had two other children from a previous relationship, when his estranged wife raised the alarm.
He added: "It's very isolated and there was a person walking yesterday who notified us to the presence of the vehicle, but I do not anticipate anyone else would have seen anything."