Earlier on Wednesday, the parents of the brothers had appealed for their surviving son to turn himself in.
"I want to apologise for my son, my sons," their mother said in an interview with CBC News.
"We don't know the whole story, but I want to apologise to everybody that was hurt and affected by this terrible situation."
Myles Sanderson had been facing charges of first-degree murder.
Canada's parole board said on Tuesday that it would review why he had been released early from prison while serving a four-year sentence for several violent crimes.
In February, the board said he would "not present an undue risk" and that his release would "contribute to the protection of society" by facilitating his rehabilitation.
Saskatoon police earlier confirmed they had been searching for Myles Sanderson since May, when he stopped meeting his assigned caseworker and was classified as "unlawfully at large".
Parole documents show he had a decades-long criminal record, including 59 criminal convictions since he was 18 for assault, threats and robbery.
According to court papers, Sanderson had stabbed two of the victims killed in Sunday's rampage - his in-laws, Earl Burns and Joyce Burns - seven years earlier.
"I want to know the reasons behind the [parole] decision," Public Safety Minister Marco Mendicino told reporters. "I'm extremely concerned by what occurred here."
At an emotional news conference on Wednesday, relatives of the victims spoke of their "horror".
Mark Arcand, chief of the Saskatoon Tribal Council, said his sister, Bonnie Goodvoice-Burns, died protecting her three children.
"One of the young boys was hiding behind a highchair watching the whole thing happen," he said.
Additional reporting by Max Matza
