Rowan Baxter and the children, all under 10, were found dead in the car by emergency responders, police said.
Hannah Baxter, aged 31, died later in hospital from extensive burns. She had reportedly jumped from the car yelling: "He's poured petrol on me".
A crime scene is in place in the Camp Hill area in the city's east.
"It's a horrific scene," Det Insp Mark Thompson told reporters. "It is very early in the investigation, but the vehicle was fully involved in fire upon police arriving."
Police were first called to the scene at 08:30 local time on Wednesday (21:30 GMT on Tuesday). They found Rowan Baxter, 42, and his three children aged six, four and three dead in the car.
Rowan Baxter had been in the front passenger seat and Hannah Baxter had been driving the car, police said.
Residents told Australian media they had seen Mrs Baxter, 31, jump out of the car while she was on fire.
She was taken to the Royal Brisbane and Women's Hospital in a critical condition, police said. But she was confirmed to have died later on Wednesday.
Paramedics said they had also treated a passerby, who had "tried his best to get to the car". He had suffered some "facial burning" and also been taken to hospital, a Queensland Ambulance spokesman said.
Rowan Baxter formerly played for the New Zealand Warriors rugby league team in Auckland and had reportedly also been running a gym with his wife in Capalaba to the east of Brisbane.
Queensland's Police Minister Mark Ryan told parliament about the "horrific incident", saying: "My thoughts are with all of those affected by this terrible tragedy.
Prime Minister Scott Morrison said his "heart goes out to the families and community going through this tragic time and the emergency responders confronting what would be a shattering scene".
Federal MP Terri Butler said she was "horrified and devastated" by the incident.