Isao Shinomoto told police he wanted to kill his family, saying he could not cope with his debts, Jiji Press and local broadcasters said.
Shinomoto, 53, attacked his 49-year-old wife, 20-year-old daughter and son, 18, early morning as they slept, police said.
The bloodied bodies of his wife and son were discovered by police who were called to the house in western Tokyo. Officers rescued the injured daughter and arrested Shinomoto, police said.