What we know about the death of a Sydney family.

A martial arts instructor hospitalised with alleged stab wounds has been arrested and charged after the bodies of a man, woman and their child were found at two separate Sydney locations on Tuesday.

Min Cho and her seven-year-old son Benjamin's bodies were discovered at a taekwondo centre in North Parramatta, two hours after the discovery of husband and father Steven Cho's body in a Baulkham Hills home.

The two locations are approximately five kilometres away from one another. Relatives living in South Korea have been told of their deaths. 

The taekwondo instructor on Wednesday night was charged with the murders, and he remains under police guard at Westmead Hospital in Sydney's west.

He is accused of murdering the 41-year-old woman and her seven-year-old son at his taekwondo school in North Parramatta on Monday night. Police say the man then took the woman's white BMW to Baulkham Hills where he allegedly fatally stabbed the 39-year-old father of the child.

The discoveries were made after the taekwondo instructor took himself to Westmead Hospital with stab wounds.

Police say he claimed the injuries were from a supermarket car park incident.

On Tuesday, students at his studio were sent a strange text message that claimed he had been injured in a serious car accident and was unavailable for classes, Nine News reported.

The man did not apply for bail at his first court mention on three murder charges, with multiple crime scenes established by forensic officers as part of the investigation.

Police prosecutors will have to supply the instructor and his lawyers with a brief of evidence by April 16 and the matter will be back in court two days later. He has yet to make any pleas.

With AAP.

Feature Image: AAP.