Two other people were wounded in the shooting.
Police said the shooting took place inside a home in the 7200-block of South Mozart around 4:30 a.m. Wednesday. A suspect was taken into custody at 6 a.m., officials said, but has not been charged.
A 7-month-old boy, Jihan Larry; a 3-year-old girl, Keleasha Larry; and 16-year-old girl Keyshai Fields were killed, according to a police source. The teen, who was pregnant, was a student at Chicago's Robeson High School. The fourth fatality is 19-year-old Tawanda Thompson, who is believed to be the wife of the suspect, according to investigators.The alleged gunman's sister, Keisha Larry, spent most of Wednesday at Christ Hospital. Relatives said her two daughters were killed. Her 13-year-old son, Demond, and her mother, Leona Larry, lie in the hospital wounded.
"My mom is hanging in there. I've cried as much as I could cry. I haven't seen my babies yet and I know I'm not done crying. I can only bury them," said Larry.
Mourners transformed the home Wednesday night into a memorial site as police questioned the suspect. The Southwest Side bungalow was a gathering place for loved ones to grieve, sign cards and drop off mementos.
The family said the alleged gunman - a 33-year-old relative - recently converted to Islam and had been reading the Koran.
"He was reading a book. He said they told him he must kill someone, so he killed the family," said Letisha Larry, suspect's sister.
"I don't understand why my nephew did this because he was quiet, he never talked to nobody. He never talked to nobody, but he would talk about the Muslim," said Catherine Mason, suspect's aunt.
Keyshai's classmates from Robeson, friends and family members rushed to the crime scene Wednesday morning in tears, as they realized loved ones had been shot to death in their own home.
"She was nice and caring. She ain't like violent. She didn't fight and argue. She was the peacemaker out of the whole crowd," said Corissa Wright, friend of the deceased teen.
Relatives say the suspect lived in Madison, Wisconsin. He was arrested Wednesday morning near 59th and Racine.
"I can't judge him. Only God can. So there is nothing I can tell him. We will still pray for you," said Ella Smith, relative of victims.
Leona Larry was listed in critical condition Wednesday night, while Demond was in stable condition.