Marcelle Thibault, 39, was driving south on the Interstate 495 highway in Lowell, Massachusetts last week when she turned the car sharply, drove across the median and northbound lanes, then began driving against traffic in the breakdown lane, authorities said.
She then stopped and got out of the car, took both children into her arms and walked onto the highway. She and the children were struck by two cars and killed.
"We believe that Ms Thibault took her niece and nephew and walked with them into oncoming traffic on Route 495, tragically resulting in the deaths of the two young children while taking her own life in the process," District Attorney Gerry Leone said in a statement.
The young victims were Kaleigh Lambert, five, and Shane Lambert, four, of Brentwood, New Hampshire.
A statement from the family released by Leone's office pleaded for prayers and privacy.
"This is a time of terrible tragedy for our families. We love Marci, Kaleigh, and Shane and we miss them very much," the statement said. "We ask everyone to join us in prayer for their souls, and to help us get through this most difficult period of our lives."