The suspects, 16 and 18 years old, ran away when officers arrived at their house in Broken Arrow, outside of the city of Tulsa.
A child at the home was taken to hospital and is in critical condition. Another child was found unhurt.
Police are investigating the deaths as homicides.
The dead include both adults and children, Broken Arrow police Sgt Thomas Cooper said.
Authorities say they responded on Wednesday night to a 911 call where someone called 911 but did not speak on the phone.
Mr Cooper said the Oklahoma Bureau of Investigation is assisting in the investigation.
"It appears that the two suspects fled out the door sometime during our arrival. We had a canine track, and they were apprehended,"  Mr Cooper said.
The house where the two teens were arrested was large and fairly expensive for the area, according to property records.
Helen Hoagland, a neighbour, told the AP news agency that two parents and five children lived in the home and that the children were home-schooled. She said the mother was very strict.
"We have a great neighbourhood. That's just crazy; it's absolutely crazy," Ms Hoagland said.
Mr Cooper said Broken Arrow is "relatively safe", calling the crime "unprecedented" for the area, which has a population of about 103,000.
Two teenagers have been taken into custody after five relatives were found stabbed to death inside their home in Oklahoma.