Julian Stevenson killed his children -- Mathew, 10, and Carla, five -- apparently in a fit of rage over a custody battle with his French ex-wife.
He had fled on a pair of roller skates but was found moments later, walking in the street and covered in blood.
"He hanged himself on Monday in a sports hall reserved for inmates held in solitary confinement," a source at the local public prosecutor's office told AFP.
CCTV footage of Stevenson hours before the tragedy shows him buying his children sweets, his son and daughter clutching pink balloons.
A 48-year-old believed to have had a history of drinking, Stevenson's visitation rights were curtailed after a violent clash with his ex-wife in 2010.
