Mark Lundy told police he and wife Christine had no secrets - before conceding he had kept his use of prostitutes from her.
Mr Lundy, 56, is accused of murdering his 38-year-old and seven-year-old daughter, Amber. Their bodies were found in their Palmerston North home on 30 August 2000; the Crown claims Mr Lundy killed his wife for her insurance money and Amber because she saw what he was doing to her mother.
He is on trial in the High Court in Wellington, where the jury was yesterday shown his interview with Detective Inspector Stephen Kelly, who in 2000 was a detective sergeant in Palmerston North.
Mr Kelly asked if Mr Lundy would know if his wife was seeing someone, to which he said he would "really be surprised" if she was.
Asked whether she could keep a secret like that from him, he first said he did not know before changing his mind, and then changing it back.
"No, we've never had secrets. I kept secret the escorts because I didn't want to hurt her but I don't know.
"Yes, she probably could. Oh no."
Mr Lundy also had no idea his wife had a pregnancy testing kit next to her bed until Mr Kelly told him, to which he said: "Shit. I didn't know that. God. Oh Jesus."
The trial has previously been told the Lundys had increased their life insurance from $205,000 to $500,000 soon before the deaths but that Mr Lundy had believed the lower amount would be paid out as they had not heard from their insurance broker Bruce Parsons that it had gone through.
However, in the interview with Mr Kelly, Mr Lundy said Mr Parsons had told him the higher amount would be paid out.
"It makes it look a little bit funny," he said.
The couple also had mortgage insurance with Sovereign, so their mortgage would be paid off.
Earlier in the 14 September interview, Mr Lundy said he felt like "absolute shit".
"My life is just destroyed. Honestly, I am an absolute wreck."
Mr Lundy said he had to force himself to do something every day and that he hated going out in public as he was scared he would break down when people offered him sympathy.
*Clarification - For the avoidance of doubt, please note that Radio New Zealand reporter Sharon Lundy is no relation to Mark Lundy.