The 23-year-old was in a relationship with a man whose body was also discovered inside a home in Queensland's southwest in an "incredibly confronting, traumatic and tragic crime scene", police said.
Police have said the deaths were being treated as a murder‑suicide.
Officers rescued an 18-month-old girl after "threats were made around a firearm" during the Charleville siege, Assistant Commissioner Matthew Vanderbyl said.
The moment police defied "grave danger" and saved the child was detailed by Mr Vanderbyl, who on Friday confirmed the woman who died in the tragedy was pregnant.
"He scooped that child up. The child was distressed," he said.
"(The officer) just held that child close to his chest and turned himself away from the scene of danger ... and just held that child ... until she calmed."
Police were called to the home about 5.30pm on Wednesday after other emergency services raised the alarm over a serious assault.
They were confronted by a "quite horrific scene" when they entered.
Soon after, they were warned a person in the house might have had a firearm and had allegedly made threats towards police.
"It was at that point that police, quite rightly in my view, chose to tactically withdraw from that situation," Mr Vanderbyl said.
"I have viewed the footage, and I can tell you that they were in what I would consider was grave danger."
Police tried to contain the situation, with specialist officers and negotiators brought in as an emergency declaration locked down several streets.
As police pulled back outside the house, the toddler suddenly appeared at the front door covered in blood and an officer "broke from cover" and rescued her.
The toddler is "safe and well" with her only physical injury a scratch.
Child protection is determining the best care for the child, with family members on their way to the remote town, Mr Vanderbyl said.
"Your heart just sinks for that poor little toddler," he told Nine's Today show on Friday.
"Her life has changed in an instant, forever, as have the lives of many others from these tragic, tragic events."
He said investigators were still trying to determine how the tragedy unfolded.
"We will explore every facet of the involved persons' lives to try and piece together how this could end up in the terrible way it did," he said.
Mr Vanderbyl said the remote town about 600km west of Toowoomba was reeling.
He thanked Charleville for its support, saying it was a "very strong, cohesive community".
"That also worries me because a tragedy of this gravity hits a real community like that really, really hard," he said.
Murweh Shire Mayor Shaun "Zoro" Radnedge said the community would rally around each other.
"Charleville is strong because of the people that live in our community and I ask all of us that we stick together and look after each other," he said.
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