"Police believe one infant from the Romanian family has not been located and we'll continue searching.
All are believed to have been attempting illegal entry into the U.S. from Canada," O'Brien added.
Both the deceased and the missing children "were associated with the Romanian family" and had Canadian passports, which were found, O'Brien said.
On Wednesday night, when the families likely sought to cross the river, the weather was poor.
Reporting by Christinne Muschi in Akwesasne and Steve Scherer in Ottawa; Editing by Josie KaoOur Standards: The Thomson Reuters Trust Principles.