The suspects, 16 and 18 years old, ran away when officers arrived at their house in Broken Arrow, outside of the city of Tulsa.
A child at the home was taken to hospital and is in critical condition. Another child was found unhurt.
Police are investigating the deaths as homicides.
The dead include both adults and children, Broken Arrow police Sgt Thomas Cooper said.
Authorities say they responded on Wednesday night to a 911 call where someone called 911 but did not speak on the phone.
Mr Cooper said the Oklahoma Bureau of Investigation is assisting in the investigation.
"It appears that the two suspects fled out the door sometime during our arrival. We had a canine track, and they were apprehended,"  Mr Cooper said.
The house where the two teens were arrested was large and fairly expensive for the area, according to property records.
Helen Hoagland, a neighbour, told the AP news agency that two parents and five children lived in the home and that the children were home-schooled. She said the mother was very strict.
"We have a great neighbourhood. That's just crazy; it's absolutely crazy," Ms Hoagland said.
Mr Cooper said Broken Arrow is "relatively safe", calling the crime "unprecedented" for the area, which has a population of about 103,000.

The horses got stuck in mud as they were being ridden on a beach by the slipway near Quail Holme Road, Knott End at about 10:30 BST on Sunday.
The Fleetwood-Knott End ferry and two kayakers helped with the rescue operation along with RNLI, coastguards and Lancashire Fire and Rescue Service.
HM Coastguard Fleetwood said the horses were rescued "in the nick of time".
Read more on Pinterest about animals having lucky escapes
The coastguard said on its Facebook page the ferry to transport the rescue team over the river "saving a good 30 minute dash".
It added: "After a huge effort both horses were saved from drowning.
"Excellent multi agency teamwork, 2 relieved riders and 2 very excited horses when they were reunited."
One of the coastguards said: "I will be shouting the horses name in my sleep tonight. It was unbelievable the sound both horses made when they met afterwards they were very pleased to see each other to say the least."
Lancashire Fire and Rescue Service warned of the dangers of the riding by the edge of the water.
It said: "We don't want anyone going riding out there because it's extremely soft sand."
Sue Carr who said her daughter owns one of the horses thanked emergency services involved in the rescue on Facebook.
She said: "Can't thank you enough. We were so terrified. That horse is my daughter's baby. Endlessly in your debt."
For more stories about animal rescues follow BBC England's Pinterest board

The former West Indies seamer was injured while playing football during the warm-up in a County Championship match against Yorkshire in April.
Edwards, 34, is on crutches following an operation.
"His injury is pretty bad and I think that it would be best to get him right for next season," Hampshire coach Dale Benkenstein told BBC Radio Solent.
Fellow ex-Windies pace bowler Tino Best has joined the county on a short-term deal in Edwards' absence.
Benkenstein admitted the chance of seeing the Barbados duo, both signed as non-overseas players under the Kolpak ruling, sharing the new ball for Hampshire would have to wait.
"You never know, maybe next year," he added. "Fidel is very fit and some people heal quicker than others.
"But, as a fast bowler and with the force he puts through his body, an injury like that might be asking a bit too much from him."
Two teenagers have been taken into custody after five relatives were found stabbed to death inside their home in Oklahoma.
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Two horses have been saved from drowning in rising tides near Fleetwood, Lancashire.
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Hampshire fast bowler Fidel Edwards is set to miss the rest of the season after surgery on a broken ankle.