The 47-year-old man shot his 18-year-old daughter for failing to give him water, and then killed his 16-year-old daughter when she tried to save her older sister, local police officer Mushtaq Warriach said.
The incident occurred Thursday evening near Sargodha, 300 km northeast of Multan, a main city in the eastern province of Punjab.
Warriach said the man told police he "felt insulted" when his daughter remained seated after he asked her to get water.
The man was to appear before a judge later Friday, he said.
Violence against women is common in Pakistan, but such killings are rare.
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